The worst that should happen is a crash and save data corruption of that specific game. It's running in an emulator so it should have zero possibility to mess with anything outside the game.
Did you put ums_sd.ini in the root of your sd card and select it in the memloader menu?
You can also just use your pc to inject the memloader payload directly, no need to use SX dongle and navigate through the menu.
This isn't a perfect solution, but memloader can make the switch sd visible as a usb device, but it requires you to reboot the switch every time you want to use it because it's an rcm payload.
Yes, you should definitely do a nand backup. I don't know how good the SX OS nand backup tool is. I'd either wait for someone to confirm it's fine or just use Hekate to be safe.
Most full size sd cards are mostly empty inside anyway. Microsd inside adapter is exactly the same as a full size card. Oh, and then there are these: https://www.google.com/amp/s/amp.reddit.com/r/mildlyinteresting/comments/1ct692/took_apart_a_broken_sd_card_there_was_a_microsd/