A safety line is a thin yarn - I use a fine knitting cotton thread - which you put through all the stitches of one row of knitting, and leave there while you continue. That way, if you have to frog the knitting, you can safely rip it back to the safety lines row, because all the stitches are caught on the cotton thread, and you can pick them up easily from there. You can (if you need to) indicate on your pattern where you have put a safety line - really useful if you have a complicated pattern. It's best done on a plain/WS row, assuming you have a plain row in your knitting, either knit or purl.

I use a darning needle to thread my safety line through the loops - I think it's also possible to knit it in as you go, but I prefer just to do it after I've knitted or purled the row. You don't want to catch your knitting yarn, and don't forget to leave a long tail at either end!