WordPress.org

Do I have to chmod any folders

Usually, no. But certain hosts may change the default CHMOD value and you may have to change it.

Is there a security risk with using OneClick

Yes, you may accidentally install malicious code because it's no longer a long process to install. The best workaround for this is to be careful of what you click on, and if you're the owner of a big blog, be sure to test the plugin you're installing on a local machine, and then use the file upload system of oneclick to install the plugin.

Are there localized versions

No, but if you want to help localize, send an email to anirudh at anirudhsanjeev.org