I prefer to call them "less lethal". Non-lethal sets up the expectation that no one can be killed by them, and that is simply not the case. If you find someone who is allergic to OC and give them a good nose-full, then they're in danger of death.
Nothing is non-lethal. Not even this keyboard that I use to type this message.
But I feel safe...a lot safer. Most crimes here are commited with fists or broken bottles.
If you feel safer, then you've accomplised your goal. Be sure to remain situationally aware, don't get into any situations where you might need to use it, and follow all local laws. You'll be fine.