Rule number one is always discard popped balloons. Deflated balloon pieces are a choking hazard to pets and children and small children should never be left unaccompanied by balloons (even while they are inflated). 

Keep unweighted balloons indoors and never release helium balloons into the sky. Helium-filled balloons float, but soon after they pop and fall to the ground. Besides littering, balloon waste poses a risk to the environment and can injure wildlife. Also, if foil balloons are released, they can become entangled in electric lines and cause power failures

Never inhale helium. We all had fun doing it back in the day, but when you inhale helium, you are actually depriving your brain of oxygen, and well, a bit too much of that is a pretty scary situation.