If I put my iPhone 4 into dfu mode will I lose my stuff?

Doing that will void your warranty and forfeit all rights to support here or from Apple. it could also completely brick your phone.

Don't do it.

Yeah, DFU can be a bit more difficult. The usual first step is to hold both buttons for exactly 10 seconds, then release the Power (top) button, keep holding the Home button. My only modification that has sometimes worked, is holding both for Exactly 8 seconds, then release Power button, keep holding the Home button. If you truly need DFU then just keep on trying.

There are several levels of Recovery Mode, also. The simplest will end when the iPhone is removed from power source for 30 seconds. Other forms of Recovery Mode will never end without computer input. There are several programs on the Web which can end these forms of Recovery Mode. You will have to search the Web for help.