It does affect the life of the component depending on how high you overclock it. Also when you OC it too high, you may notice error messages, and wierd stuff happening to your PC like crashes, retarts, shut down, in cases of GPU OC -- artifacts (big time).
Yeah, it's fine. My Desktop PC is OC'ed a little on stock cooling. Works great. The higher you OC it, the more stress you're putting on the component. That's why you see a lot of people worried about CPU cooling and even go to the extreme with water cooling because they OC it so much.
You can OC your CPU and GPU (video card) when you get it. CPU is done in the BIOS. You can also change RAM timings too, increasing voltage, multipliers, etc in there too. For a video card, you can use Coolbits which is a registry hack that enables you to OC your GPU.