Don't worry about it. I run my MegaDrive/Genesis' normally 7.6 Mhz 68000 at 25.4 MHz, and my NES' normally 1.79 MHz 6502 at 4.2 MHz .. not a bit of damage yet.

If you aren't cranking up the VCore (Core voltage) to very high levels, there is little to worry about. You may decrease the lifespan of the chip, but it probably outlives us all anyway.
Paradox said:
the processor used in the gp2x crashes when it gets too hot, way before any damage can occur from further overheating, apparantly. at least thats what the general consensus is around here.
The ARM9 uses very, very little power (IIRC, fractions of a milliwatt per MHz clockrate) and dissipates very little heat. It's unlikely it will develop any real dangerous heat levels even overclocked heavily, and when crashed, it likely cools down further.
If you wanted the ultimate overclock and didn't mind the horrible power drain (or use a higher current wall brick?) you might use some thermal epoxy to join the MMSP2 chip with the metal with a weak (or very low-voltage fed) TEC, or Thermo Electric Cooler (peltier unit.) It'd suck heat out of the chip itself, and dump it into the metal on the other side (adding waste heat on its own.) It'd get rather warm, but chilling the MMSP2 could net you significant overclocking gains.
Or if you wanted to just disassemble the unit, get a high-delta value TEC attached to the MMSP2 and crank it up all the way with a high-current brick and watch the frost accumulate ... you'd likely reach well past 350 MHz that way.
When I've got a decent soldering iron and multimeter with me, I'll have to poke around to see about cranking the MMSP2's voltage a bit and see where it gets me..