Don Pepe means only that their enterprise endangers their lives. But the phrase
"playing our heads" has a second meaning. Heads, of course, are the
locale of dream-ideals, so Don Pepe's remark subtly continues the theme in which
the San Tomé campaign is a mental or immaterial endeavor, with no more
reality than a "game." See the line just below about "one common
master-thought in their heads."