No problems for sleeping there, there are no marrauding 4x4 in the dunes at night, if you are really in the dunes. On the border of the dunes it is different.
Erg Chebbi or Chegaga, you have "official" camp sites, but you can go on your own in a remote place where you will be alone... much more fantastic!
Erg Chegaga going from East to West: you are on the most difficult way (but it is possible); the dunes are easyer from West to East.
New years eve in Morocco in the desert... it will be very cold. You will need a lots of wood for the fire.