Yes; however, the "screwdriver tester" with the NE-2 bulb has an insulated handle - the only current that can flow is through the bulb, and there's probably a current-limiting resistor in series as well.
But, as long as you're only touching the plastic part, you'll be OK - the reason for the safety warnings is becase if one hand is grounded, or you're standing in water, and your hand slips and contacts the HV AC, it can kill you.
The point is to not give the current any path through yourself, but like I say, the little neon testers should be OK, if you're only holding the plastic part.
Hope This Helps! Rich