Well, an isolation transformer might be highest priority!
Half-wave type multipliers are AC coupled, i.e., mains flows through a capacitor, so the value of that capacitor limits the peak current even under short-circuit conditions. Using say 10nF caps limits it to a few mA.
You need a series resistor anyway to limit avalanche current, in case it breaks down at a lower voltage; some megs is a good idea at least as a starting point.
You probably also need a specialized meter, or a dropping resistor for a more conventional one: most don't read over 1000V, or are rated to tolerate such. A 10M DMM (or VTVM if you're old school) with a 90M 1% resistor in series will give a 10x reading easily enough.
Tim