Simply put, you shouldn’t use any device that is capable of carrying a virus and that has not been vetted unless you absolutely need to. Eli expresses one of the many security risks involved in using storage devices from unknown sources in this video.
If you “had to” use one of these devices, your best bet is to plug it into a machine, say a windows computer, that does not handle sensitive data and that does not have access to the sensitive data on your network. Then run an antivirus and anti-malware scan on the device, before plugging it into any other machine. See our post on which antivirus and anti-malware software is best.
If you use a secure firewall, such as those offered by Cisco or Watchguard, you can plug the flash drive into a computer that is connected to your network, but that does not have access/permissions to share or view anything on the network. Typically, this would be a “guest” computer, or one that has internet access only and no ability to share files. Also, it’s a good idea for this computer’s user not to have Admin. privileges.
Is all of this worth the hassle? We say no, but at the same time, it is not uncommon to receive a neat little flash drive that you’d like to keep for aesthetic purposes.