Yeah, you can destroy hardware by overclocking too far, but it rarely happens.
Usually, expansion/add-in cards like network or sound cards when overclocked too far will just give errors or not work, and I have never damaged one or seen one damaged from overclocking. Usually the same is true for RAM, however I personally have pushed a PC100 RAM module too far to the point where it would no longer even run stable at 100MHz (but was fine at 66/75 MHz), and have seen other examples of where people have pushed too far by overclocking and raising voltages, etc., for components.