Castling isn't an end-all for safety. It must be coupled with proper play by the rest of the pieces in order for it be an effective defensive position for the king.
Castling also achieves more than just king safety as it allows for better piece coordination (especially rooks).
Should you always castle? Not necessarily...if the center is closed or major pieces have been traded off, castling might not be beneficial. In general though, especially for beginners, castling early is a sound rule of thumb.
And concerning what can happen if you don't castle, well, look at your June 17th game
Castling is soposed to protect your king right?Not for me. Every game i have casteled in i lost? My king was stuck in the corner and i got checkmated. Can someone give me advice on weather of not to castle.