The worst thing that could happen is that you don't pay attention, and go installing XP right on top of Vista.
That's easily avoidable if you don't just leave the "label" field blank when you create the partition you want to put it in. Give it a label like "XP system" and there's no mistaking it when you place the install.
The classic error (as described earlier) normally happens to users who create a number of unnamed, same-size partitions and think that they just have to remember the disk letter.
They forget, or don't know, that disk letters aren't "real" fixed entities, just an internal map kept by the running system in its registry, and that another system will have a different map.
The booted XP CD used to do the install is an OS in its own right, and will therefore call these unnamed partitions by its own (probably) different set of letters, hence things get placed in entirely unintended, and possibly disastrous, places.
Plan what you're doing carefully, and the whole business is safe as houses.
Read the
sticky thread for general advice and background information.
If you have the luxury of a separate HDD for XP, then disconnect Vista, Install XP independently, and when it's booting nicely, put Vista back in the PC, place it at the top of the BIOS boot sequence, boot it and use easyBCD 2 to find and configure XP for you as a boot option.
If you are going to use Vista "shrink" to create space for XP on the same HDD, then the install of XP
will regress the boot so that only XP is bootable.
EasyBCD 2 from XP (needs .NET 2.0 SP1 installed first) will fix that for you
http://neosmart.net/wiki/display/EBCD/Recovering+the+Vista+Bootloader+with+EasyBCD
or you can boot your Vista DVD and repair the Vista boot this way
http://neosmart.net/wiki/display/EBCD/Recovering+the+Vista+Bootloader+from+the+DVD
If you don't have a DVD (probably not if Vista is OEM), get yourself a repair disk before you start
http://neosmart.net/blog/2008/windows-vista-recovery-disc-download/
Oh yes, remember to check your XP Install CD first.
If it isn't at least SP2 level, it will have no SATA support, and you cannot install it on a modern PC without getting some SATA drivers first from your mobo website.