As someone going through the process, I may be able to give you some insight.
Yes it will be dangerous, you are dealing with some pretty scummy characters. Will you be being shot at every day? No, but there will be instances were you could get hurt badly.
The using your own gun thing. It realllllly depends on which police force you're joining. Some flat out say no, some make you do a lot of extra work to let you do this, and some say its fine. I would look into which department you thinking about joining up with, it should be stated somewhere on their website.
The academy thing, yea its going to be hard, your being trained how to catch, combat, and subdue criminals. So yea it will be pretty demanding, but remember they are not setting you up to fail, they're spending god knows how much money on your training. They will do everything in their power to help you succeed once your that far. Tutors for the academic, fitness trainers for the physical and whatever else you need to succeed. But it will be tough, if you need to ask "When should I begin training for this?" you should start training now!
Hope this was helpful somewhat.