Don't copy all files/directories from /usr/share/applications
It is indeed good practice to copy a .desktop file locally before editing it. That is the appropriate procedure. After you copied/edited it and logged out/in, the local one will overrule the global one.
Not all files in /usr/share/applications are meant to be run by the user directly however. Some files possibly are no .desktop files at all and even a few directories may exist. That is (a.o.) why you should not simply copy everything from /usr/share/applications into ~/.local/share/applications.
There is also no reason at all to copy all .desktop files locally. The local ones will only overrule the global ones if the local one exists. If the local one does not exist, the global one still is "in charge".
Is there a risk if I copy the complete contents of /usr/share/applications to ~/.local/share/applications?
Apart from creating useless duplicates, copying everything from /usr/share/applications can cause conflicts starting up your desktop. I actually did that once as an experiment (Unity), had to fix things with a startup usb.
Conclusion:
Only copy global .desktop files to ~/.local/share/applications if you have a reason to do that, and only copy (and edit) files specifically.
If you mess up a .desktop file somehow, the application won't startup from Dash or you are experiencing duplicate icons in Dash, if you do not manage to fix, simply remove the local .desktop, log out/in and things are as they were before.