That would be called seeding. While it is possible to get other things from seeding, such as taking other files that you are not sharing, that is a more difficult and tedious thing to do. By seeding you are for the most part safe. As for Azures, I switched to Utorrent myself (It uses less ram and takes up less HD space) but I believe you can pause sharing on the files you are seeding my simply right clicking the file in Azures. That or just exit the program.