You shoul be careful using scope like that. If your Device Under Test (DUT) is Mains Earth referenced, so as your scope, you can short something to ground with the scope ground lead, and possibly blow the ass out of something. :-)
So:
1. If your DUT is not Earth references (e.g. floating), then, it's OK, there's no threat.
2. If your DUT is Earth referenced, think how you connect everithing, maybe it's better to measure current on the low side, than on the high.
3. If you would use multimeter, there would be no threat, beacause it is itself floating.
UPD: I was to include the Dave's video about this topic, and just then saw that somebody did it just before me.)
UPD2: As a second thought. You can be on a safe side here. Connect the tip of the probe of one channel to a pin of a measurement resistor, and the tip of the probe of an other channel to the other tip of the resistor. Connect ground lead of one of these two channels to the DUT's ground. Then configure the scope to show you difference between these two channels (it should be somewhere in MATH menu).