There are several things to consider when shooting reloads in a Glock. First, there's the Glock warranty which requires that you use only factory ammo in your Glock pistol. Technically, you negate that warranty if you use non-factory ammo. However, I have never heard of Glock refusing service on any of their pistols that needed repair -- regardless of the reason. You may have to pay for replacement parts or a new pistol in worse case senarios, but usually at a substantially reduced prices. Glock's customer service is the best in the business, IMHO.
Secondly, Glocks have polygonal rifling in their bores which allow the bullet to seal the gases better than traditional land and groove rifling. With the use of lead bullets, lead particles shed from bullets down the bore have no where to hide in polygonal rifling as in the lands and grooves of conventional rifling. Compound that with better bullet-to-bore sealing, serious pressure spikes can develop when the bore is fouled. Even cheap plated bullets have the potential to shed material that can increase pressure.
Lastly, there is the problem of loose chambers and less case support in non-9mm Glock pistols. While this makes Glock a most reliable combat pistol, it doesn't do much for handloaders -- especially those who like to take it to the limit or who carelessly or otherwise go beyond. This is especially a problem with the .40 Glocks -- though some chambers seem tighter than others. You should check your fired cases for bulging and primer probs.
Therefore, it is usually recommended that if you are going to shoot reloads in your Glock pistol, that you get a replacement barrel (Bar-Sto, Jarvis, Wilson, KKM, Briley, Federal Arms, etc.) that has more support, a tighter chamber and conventional rifling. Then use your Glock factory barrel with factory loads for business.
That stated, many Glocksters are quite happy using their factory barrels with reloads and do so successfully. The things to remember here are usual handloading precautions, preferrably the use of good quality jacketed bullets and judicious inspection of fired cases (the hotter the loads, the less number of times the case should be recycled). If you use lead bullets, just remember to inspect and clean your barrel often to prevent any lead buildup in the chamber or bore. Be careful out there!