AMD has announced the acquisition of Nitero, a company that made a "phased-array beamforming millimeter wave" wireless chip for VR/AR headsets:
Nitero has designed a phased-array beamforming millimeter wave chip to address the challenges facing wireless VR and AR. Using high-performance 60 GHz wireless, this technology has the potential to enable multi-gigabit transmit performance with low latency in room-scale VR environments. The beamforming characteristics solve the requirement for line-of-sight associated with traditional high-frequency mm-wave systems, potentially eliminating wired VR headsets and enabling users to become more easily immersed in virtual and augmented worlds.
I'll say no thanks to a headset with cables connected to it. Those are for the early adopters.
Cooked brain, salt anyone? ;-)
I have good news for you. Before any sort of brain damage results from brain overheating, you'll suffer traumatic headaches that will alert you to take the thing off.
Also: microwaves, radio waves, and infrared absolutely suffuse our world already. A dash more millimeter wave(i.e. the same UHF that made your TV go before netflix) isn't too likely to kill you.
It's only marginally higher energy than the 2.4 GhZ that your wireless router and mouse use.
So unless this tech is using the kinds of power levels are radio tower dumps out, I doubt you're going to burn.