There is always the potential of damaging components. There are a few things you can do to reduce the risks.
#1: Get good case cooling. If the ambient temparature inside your case is lower, then the increased heat from overclocking will do less to shorten the lifespan of the memory.
#2: Overclock gradually. Don't just set the clock straight to 400+MHz and hope all goes well. Start by increasing the FSB/Mem speed by 2-3MHz, or the smallest incriment available to you if you don't have 1MHz incriments. Wait a day or two to make sure all has gone well. Run some stability tests (3DMark, Prime95, BurnInTest) to make sure your system is rock solid. If all goes well, then increase another 2-3MHz. Repeat this cycle until you reach the wonderful world of instability. Then, back it down the previous speed which was good for you.
#3: Don't increase the voltage. Increased voltage is the main reason for shortened component lifespan and possibility of damage. It is risky to increase it. I have always overclocked using default voltages without any problems. If you really get the OC bug, and you just have to overvolt, don't do it by more than 10%.
Good luck and have fun.