Different engine/transmission brands and models will be different in this regard. You can wreck your transmission by failing to observe what the manufacturer specifies.
If you have a Yanmar (with a Kanzaki transmission), you
must leave it in neutral. If you have a Universal (with a Hurth transmission) you may leave it in either neutral or reverse, just not in forward. Since there is less drag by letting the prop freewheel, just figure on leaving it in neutral with either of these setups.
This thread will be a good place for you to start:
http://forums.sbo.sailboatowners.com/showthread.php?t=151762&#post1021102
You may also wish to search the archives for other info on this, though the above thread should tell you all you need to know.