Well, cash transfers are gone but you can put $2.25 on a Transit Card (the flimsy plastic one sold at the vending machines) and get transfers that way:

http://yourcta.com/maps/faretable.htm

At O'Hare station, you can usually choose your car while the train's waiting at the station. If you're not comfortable on one, simply walk to the next one. The very last one is the one the operator is in, so you know there's personnel ready. Also, the crime rate on CTA is no higher than elsewhere in the city -- in fact, given the number of people who use the system, the rate's probably lower.

That said, one caveat: if it's winter, bundle up. It can get cold on those trains.