Safety should not be a major concern. Downtown Chicago is not particularly dangerous at ANY time, and there will be tons of people downtown late on NYE.

Watching the fireworks at or near Navy Pier is a bad idea IMO, because you'd have a very poor angle. I actually would recommend the museum campus, which is pretty far from the pier but affords you several places to look across the harbor toward the pier and Grant Park.

The angle is rather spectacular and looks a little something like this.