I did follow the process and midway it told me if I loose access to recovery keys I will loose access to github account. I don't have a locker or similar safe place to store codes physically.
Why should I risk loosing my github by enabling 2FA?
I doubt it told you that. I expect it told you that, if you lose access to your (password,2FA token) combination _and_ your recovery keys, you’ll lose access to your account.
You normally never need your recovery keys.
Recovery keys are a way more secure way to handle that then the “what’s your mother’s maiden name?” like questions traditionally used to handle “forgot my password”.