It won't mess up your GP32. Almost everybody here has tried it and nobody's GP32 has blown up or anything from it. If your unit cannot handle a certain speed it'll just freeze or reboot. No harm done. The advantage of overclocking (OCing) is that it makes things run faster because you increase the clock speed. It makes a great difference. You don't actually overclock the whole unit and then have everything run at that speed. Instead, you do it only in the programs that you want to run at an OCed stated. Some emulators include a clock setting feature in the options while others don't. And for the ones that don't, people hexedit them so that they always run at a specific OCed state (you download the version that is the speed you want to run it at, i.e. snes9xgp 156mhz.zip). When you run the program at the clock setting, only that program is running at that speed, when you exit the program, the GP32 goes back to the normal clock speed.
I hope this cleared things up. If you have any more questions, please feel free to ask them.