You can't protect yourself legally with agreement or a written statement or whatever. Sure you could show it to the authorities and argue that the agreement was made without any duress. However, good luck proving that. I guess you will have to take your chances if you're going to do this in the first place.
unless its your collared slave your playing with it would be his word against yours in court and he would have the marks so be warned.
A collar makes absolutely no legal difference. And depending on jurisdiction, it may not matter what he says - if law enforcement gets a hold of a case like this, the DA may not need his consent to prosecute.