Could they use oxygen gas for pressurization, since the helium tank in a Falcon 9 seems to be inside the liquid oxygen tank? Or would it be too dangerous?
You can use oxygen gas for pressurization of oxygen tanks, but it introduces a new set of problems, since you've got to get a stable pressure of oxygen gas inside a container with a huge volume of sub-cooled liquid oxygen, and you have to have a high-pressure tank in there anyways to pre-load pressurized oxygen gas, so that you can get it into the tank fast enough. Also it means you've got reactive oxygen gas all around, so you have to redesign things for that.
However, this kind of oxygen-gas pressurization is exactly what's planned for SpaceX's next-generation oxygen-methane rockets.
The Space Shuttle used autogenous pressurization for its main engines / external tank, and the Delta IV is eventually planned to do so as well. And as you mentioned SpaceX plans to use the same system with their next generation of rockets. It is tricky to get working correctly and requires a larger up front engineering effort, but the payoff in simplicity of operations is significant. Additionally, it provides gaseous propellants that can be used for other purposes, such as attitude control thrusters.
Too dangerous, it's not a good idea to combine pressurized high temperature oxygen and kerosene. Also, I think the Oxygen would dissolve in the kerosene, which would complicate the combustion process and make it less predictable.
