Having my own home for many years and then several rentals (in the past) I find that I often have to do gas and electrical work and even plumbing! from time to time. When working with electrical, I always shut off the main breaker! When working with gas, I always shut off the main valve, unless there is a nearer in-line valve (which is why I made that recommendation).
Anyway, gas (natural gas) is no big deal. Never have an open flame. If there is a sizeable leak, you can smell it right away. And tiny leaks are quickly revealed with bubble solution (liquid soap and water liberally applied to connections. Be sure to use thread joint compound (or tape) when making connections.
HOWEVER, as far as replacing an electrical unit with gas, I'm sure that there are resources on the internet that will reveal your possible savings. Replacing with an in-line heater, I suspect that there is a savings for actual consumption, however, it may take a while to offset those future savings with current high costs for the equipment! And if the unit falters after installation and after the warranty, it is possible to be in need of replacement even before the future savings can kick-in.
All-in-all, I'd suggest moving to a warmer climate. You like Vegas, right?
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