I looked into this one time and got scared away the the DIY part of the kit and the warnings that you could seriously injure yourself. :( This will require braver souls than I.
(I'd read this first though: http://openeeg.sourceforge.net/doc/WARNING.html)
I brought this up with one of my engineers, and he said I was getting my knickers in a twist; the likelihood of dying from this truly would be a series of unfortunate events.
So: beware, even with the commercial units. Dissect them to be sure!
I tell you this, when there's lightning within 50 miles, I take my headphones off! I've never heard of anybody being injured or dying that way, but the mental image is not one I can tolerate.