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We can sugest some options that are considered efficient, but you do as you want.
Some people build a bunch of baronies and keep all of them, because you can put skilled councilors to maximize the profit from said baronies.
Some people put cities because if you give it to vassals, they are the ones that give you the best return on investments.
If you are iqta or monastic feudal, there is an argument for temples, but that is quite controversial.
put the marshall and the steward to work there.
You're building "high" instead of "wide" as the terms go. Others have suggested all or most castles for baronies. I prefer cities for the income and because they aren't hereditary like castles. Not being hereditary, there aren't any family members to object or get angry when I assassinate the owner of a town because he has low stewardship or is otherwise a scrub.
I do keep one or two castles available to stick extra sons into when they start whining about not having land of their own.
That said, as a feudal reformed pagan, income doesn't have to be a priority since you can raid. If you have a border with a richer yet weaker realm, just keep raiding it down and rinse and repeat as they recover.
This enables you to make crazy rich and strong, historically sized realms. With capitals countries being able to field 5 digit armies on their own already.
tl;dr you do not risk anything, you just miss out on stuff