It depends on what you're doing, but 500g shouldn't be dangerous as long as you wear the weights tightly bound so they don't bounce or slide. What you want to watch out for are anything that overextends or puts pressure on the joints - those movements can cause damage even unweighted and having weights just makes the danger worse.
I'd be worried about blisters/rashes/rubbing if the weights slide around. I use an exercise-bike like device and realised I was getting a blister on my hands from the constant motion of the grip.
