It was a fully unified country way before 1929, unless you are counting Alto Adige and Trieste as conditio sine qua non to have a fully unified Italy, which I wouldn't.
As for the Vatican situation, the Italian kingdom completely conquered and annexed the papal state in 1870 (Breccia di Porta Pia).
In 1929 the Pope formed an alliance with Mussolini to get a state in exchange for the approval of the fascist government from the Church (and other stuff, but that's the gist of it)
It's definitely dangerous if you don't know what you are doing. As in, "you can die" kind of dangerous.
But if you know what you are doing, nah, it's perfectly safe, and kind of easy to do too.
Probably most definitely illegal in most places too, but if you just shut the f up and don't blabber about it to everyone you meet or try to sell or give it away, there's pretty much nothing they can do about it, cause they don't know about it, and neither does anyone else.