If you have a look at the air gun press, or your local gundealer, you should find metal 'pellet traps', into which you fit a target card, and which collect the pellets. I use one of these, with a backstop made from heavy card packing crates packed tightly with old carpet offcuts. This seems to hold stray pellets in a very satisfactory way.
It's difficult to say what sort of range you should shoot at without knowing the layout of your garden and the circumstances. I would have thought 15-20 metres is a good safe distance, if you're lucky enough to have a garden that long. Certainly not below 10 metres?? Just my view - interesting to see what other people think.