There is no inherent problem folding on a laptop other than heat. Laptop components can handle the load just as well as desktop components can, but laptop cooling systems are usually pretty weak. My HP dv9700 (Core 2 Duo T9300 @ 2.5GHz, nVidia 8600M GS) got too hot when folding and I think GPU folding helped cause the board to fail (GPU overheated and broke the solder). I got a replacement and I've been CPU folding on it as GPU folding gets unstable. A cooling pad alone wouldn't keep it cool enough so I took one of my spare Antec TriCool 120mm fans and hooked it up to an old PSU and set it right by the laptop's air vent to blow the hot air away so it isn't pulled back into the PC. This setup did lower temps (GPU stayed around 60C but still made my screen glitchy and crashed with unstable machine errors) so I'm just running SMP now.
If your laptop isn't an awful piece of crap like mine it should be OK, HP just can't make a good heatsink and their laptops overheat doing even simple 3D gaming. I think the nVidia 8600M chip also had issues of its own.