Take the Red Line subway from State Street toward Howard. Exit at Addison and you'll be able to see the Field from the platform. It's only a half-block walk.

Nothing to be nervous about - the L is safe, and lots of people will be on it before and after games. Like said earlier, take the red line North (assuming staying downtown) and get off at Addison. Whatever you do, don't drive! Traffic is difficult and parking is extremely expensive in that area on game nights.

Yes, the El is quite safe going to and from games at Wrigley. However, in crowds, one can be susceptible to pickpocketing because everyone is bumping into everyone else. Make sure to have a zippered purse with it closed and the zipper toggle in front of you where you can see it, or put everything in a secured front pants pocket and you'll be fine! Enjoy!