"LIVE shots" are pretty much dead in Chicago. SAFETY SAFETY SAFETY. Since the WFLD incident a few years ago, many rules here in Chicago have changed involving live shots. A couple stations have completely banned them with the exception for certain events (political, weathercaster at a school, etc.) where it is necessary. The unions here in Chicago have added some rules involving them too. Even many of the "LIVE shots" labeled as "LIVE" on the newscasts technically aren't live anymore. They're recorded just prior to the newscasts.
Depending on the station and the location, the reporter must be with a photog and/or hired security. The stations also have a "buddy system" with each other (yes, "competiting stations" working together) where the crews of a couple different stations will meet to be at a location together to be there in numbers for safety to record their respective "live" reports.