I've done this before. Don't do it over the battery terminals and don't do it across the live terminal either. Do it this way (copy pasted from my project thread)
"In your case sir, I would grab the diagram of fuses from your manual then get a mate to help you. Open the front door so you can get to the fuses, open the bonnet so you can get to the battery. Lock the bonnet lock manually by pushing in the latch (mimicing the bonnet being shut) and then disconnect the negative terminal off the battery. Put your multimeter across the chassis and negative terminal in current mode, make sure you have a good connection to each, and then fire the door locks. Keep holding the multimeter in place (this is where having a mate helps ) and wait around 5 mintues for the car to enter sleep mode. Now you can see the actual drain on your battery. Around 20mA is normal, mine was 370mA before which is not normal lol. Then go through disconnecting the suspect fuses and see which one drops the current. After you figure out which loom is doing it, you'll have to investigate further."