and I don't know what will happen to scope then
You will destroy it. A coil with the kind of inductance you are winding will probably have an emf of a few kV... most modern scopes only have a 50v tollerance.

Use your probe set to 10:1 and use a Resistor divider chain of another 10:1. If the Bottom Resistor is 1M it won't load the circuit. That should give you a 5kV operational tollerance.