Opening w/o sharing will not damage the file, but you make yourself more vulnerable. If you have to force quit or it crashes for whatever reason, non-hosted files can become corrupted.
Best practice is to run FMServer on your developer machine and upload your files there, but this would require a 2nd license for FMserver, except when the server is down while your local version is up.
If you're a TechNet member, you can download a developer license of Server as part of your membership.
Just another option to think about.
+1 on that advice. I also run a save-as backup routine (frequently!), if I develop off-server. Backup being the keyword in any case.
The other 'gotcha' is to remember to clear global fields as needed before hosting again. Your "test" values, you probably don't want to set as defaults. I have a script that clears all global fields.
-- sent from my iPhone4 --