in nontolerant users, it is quite unsafe, in tolerant (and/or I suppose very careful) users, the combo is not dangerous but is still not safe. I take opiates with benzos whenever I have both at the same time, and I never have any problems with it, however I dose low at first and then titrate carefully, I don't just jump in a pool of CNS depression without knowing how deep it is, and unfotunately, that mentality seems to be very common amongst teens and college students, leading to many deaths.
if you are tolerant to at least one, this combo may be attempted safely IF you start with a fairly lower dose than you would normally take of each, and then titrate up in safe incremements (e.g., titrate by 5mg of oxycodone and .5mg of alprazolam). Don't increase the dose if you have any discomfort regarding breathing or other problems. Also, if this combo is attempted, do not use any other substances (even DPH [benadryl]) with it, whatsoever.
With stronger opiates like heroin, morphine, oxymorphone, etc., this combo is quite risky even in tolerant users. Only combine benzos and opiates if you are VERY confident of your tolerance (if you "know your body" or whatever) or if you are using lower strength opioids (oxycodone, hydrocodone, tramadol, codeine, etc.). Even then, if you attempt this, keep in mind that it is risky, and you should be EXTREMELY careful.
However, I recommend against it, as it's unnecessary and hazardous.