Years ago I was in Philly at a convnetion. I asked the hotel staff how to get to south Philly so I could experience Rocky's neighnorhod. They told me not to go, that it was dangerous. So, I didn't go. I got to run up the steps of the museum though.
South Philly is certainly gritty, but I never felt it was too dangerous. To this day people running up the steps of the Museum of Art is as popular as it was when the movie came out.