The line Don't try this at home has become a sort-of catch phrase used by many TV programs containing dangerous things, possibly because of lawsuit-happy US culture or possibly because it makes things sound more exciting. Some example applications include:
John is now going to juggle with four running chainsaws. Don't try this at home.
Remember, all the games seen on 'Gladiators' have been played with strict medical supervision. Don't try this at home.
Now, these alligators are really dangerous, and what you should never, never do is stick your arm into their jaws up to your shoulder, just like this. Don't try this at home.
etc...
It is often used in a tongue-in-cheek way.
wertperch says It's also an album by Billy Bragg.