lets say i want to change my theme, kinda trial and error.
Best way to learn. :) But from that link, you are using the Twenty Eleven theme. Don't modify it directly create a child theme instead. That way when Twenty Eleven gets updated you won't lose your work.
is there a chance that the theme i install will ruin my widget settings as well as other settings?
There shouldn't be a chance of that because the theme only covers the presentation of the posts/pages/etc. from the database.
But if you're really concerned about that then setup a second WordPress installation with a different database in a different directory. That can be your Crash and Burn installation for playing or testing.
Also keeping good backups and knowing how to restore them is your best safety net.