Welcome. I too just purchased a red '07 and am having too much fun.
About the Valves.
The reason the valves need adjusting after 500 miles is because during that time, and for the rest of the valves lives, the valves and valve seats are basically getting beat into shape by each other. This is normal. As the valves hit the seat it slightly compresses the metal and the clearence becomes less.
I checked mine around 500 miles and they were in spec, two were at the bottom end and I will adjust them soon.
I saw a valve adjustment done at a recent tech day and am totally confident that I can do this myself. I have about 10yrs of wrenching experience on my own vehicles so you'll have to decide if your comfortable with it.
There is a video you can get from Arrowheadmotorsprots.com that will walk you through the process.
You will not void the warranty if you preform your own maintenece. Look for "Magnum Moss Act" (think that right) in the KLR-FAQ
I feel the best way to not be run over is to be visible and try to anticipate the worst case senario. I have Yellow Saddle bags, which I'll install when my racks get here, and wear my field vest when I ride. See below pic
People make riding versions but you can pick something like this up at probabaly a hardware or construction equipment store. Around here I like Alaska Industrial Hardware, or you can probabaly find them in a Grainger Catalog. i like mine because its got A LOT of pockets. It is actually a Timber Cruiser's vest.
I think that is enough of my too long email and shameless pic post to make Paper even more jelouse
Enjoy the bike,