SureAI

As have I, but only for cosmetic tweaking--a good thing, too, since my current character's hair hangs through her cheeks. New hairdo incoming!

I would think changing hair and eyes, etc wouldn't do much to the game. A race change may...if the disposition of other races would change. The sex change will but I am not sure when the game reads your sex and applies it to Kim's "situation" (lol) I have a toon I turned into a boy right after I got out of the caves just to see if that does anything.

I have changed races several times to custom races and have not had any bad things happen thus far. However I have one dedicated "playing" character that I haven't done anything to other than change hair/eyes (the rest are more for screenies, trying out things, etc). When I want to try another race to play I will start a new game.

Sex change breaks the main quest. All other things should be non-problematic except for the problems known from vanilla Oblivion - they can remove all of your spells if used wrong.