Pranayama, like any other technique or method is best done under an expert except for the basic practice of Nadi Shuddhi. Pranayama, especially Kapala Bhati involves drawing in a lot vital energy in the human system and unless one does not engage in other exercises that quieten and balance and channelise it, the excess of pranic energy may create imbalances. With all the money involved and the claims that border on the fantastic it is better to be less indulgent with these things. In any case these practices have little to do with realising the Divine, are often quite time consuming and the promised results such as health and vigor can be attained in other simpler ways.
Affectionately,
Alok Da