There will always be a risk (especially if the mice are adult) that the mouse could damage your snake. I've seen snakes with scars from the live feeding, infection is more of worry than anything else. Most people don't recommend it. If you do, at least stun or even pre-kill the mouse. Suecornish got a snake blind in one eye due to a mouse that wanted to go down fighting.
If you feed frozen thawed, you know your snake will be safe. Buying in bulk can also be cheaper (100 dead mice in my freezer, wooo!)