It means to take a big risk. Nowadays people tend to use it ironically, to puff up something relatively trivial. I threw caution to the wind and wore the blue dress to the party.

It is not used extremely often, but it is certainly heard or seen from time to time. "Should I leave my home and job in the US and move to Japan instead?" "Why not? You're unhappy here! Throw caution to the wind! Live a little!" Frankly, I think among Millennials and younger native speakers, internet-inspired phrases like YOLO (though already a little dated) are more common. "Should I leave my life here and move to Europe?" "YOLO [You Only Live Once]! Go for it!"

throw caution to the wind.. we use it when we decide not to "worry" about something.. maybe we were worried or afraid of doing something..... once you decide to put your fear aside, and do it, you can say.. you will "throw caution to the wind...