I have deprimed live primers. As said, take it slow. Even if it goes off, it will probably try to blow it out of the primer pocket.
Two things to watch out for if you are using mil spec ammo.
1. Check down inside the case to see if there are two or one holes in the primer pocket. Some mil spec brass is "Berden primed" (two holes) which is a problem for depriming, and you need Berdden primers. http://www.youtube.com/watch?v=hth3Xwoqe9M
shows a good summary.
2. Mil spec primer pockets are usually crimped. The crimp needs to be removed before you try to prime the brass. Midway has a number of tools that will remove the crimp. Or you can use a countersink on a drill...
has some good points.
You can use most dies in most presses; I think Dillon needs to use its own dies, but I may be wrong on that. There are plenty of Dillon users here. I have RCBS and I could use most makes of die on it.