No, but if you want to keep your best file or whatever file you've done the glitch on and you want to save it then make sure you have an empty save slot for it. But anyway of all the people I know who have done it none of their games have been damaged and neither has mine, but like I said if you want to save the glitch file to play from kakariko/ordon make sure you save it on an empty save slot.
Credit to .Impact for the sig & avy