Generally, it is safe all around Iran. There were some problems caused by terrorists in Zahedan province and near Bam, mostly near Afghanistan and Pakistan border. But since the leaders were arrested and hanged last year, there have been no reports of any problems; neither for locals nor for foreigners. For more safety, go on a guided tour or use the typical buses. Do not go off-limits and avoid the border. Bam is a great place worth visiting but there is nothing much to go further to the South-East.