If you increase voltages, yes, you could potentially damage the system. Overclocking does not necessarily require voltage changes, it only makes it possible to get a greater overclock in some case. Without voltage changes, most systems can overclock at least a little bit.
If you're that concerned of course, don't do it, be happy that you've got a faster system than could have been bought for any amount of money 2 years ago (consumer level anyway).
Most people aren't concerned with getting 1:1 ratios with the CPU and FSB anymore. With the Athlon64 there isn't even a FSB to match the memory to.
The Conroe 1066MHz bus is quad-pumped, so it's a 266MHz physical clock. DDR2 1066 uses a 533MHz double-pumped bus. So you've actually have to overclock PC2-6400 to get a bus clock matching transfer per transfer with the Conroe FSB. At that speed a single memory channel ought to be enough to completely satisfy the CPU bus.
I'm not sure exactly why, but dual-channel PC2-4200 isn't apparently enough to satisfy the Conroe. It should be pretty much exactly the same bandwidth as the FSB, though only one transfer occurs for every 2 transfers of the FSB. This is one of the things that all the lovely buffering and caching and stuff done on the Conroe hides, since it means latency. PC2-8500 still gets a performance gain in dual-channel with the Conroe, even though it's got twice the bandwidth needed.