If the alt output is connected to the starter positive battery terminal, which is the stock configuration, shutting off the battery selector switch can blow the alternator diodes. If it's connected direct to the house bank, as it should be, there will be no harm. Either way, turning off the key shouldn't hurt anything, when you do that the alternator field current is shut off and the output is still connected to the batteries, either direct or through the selector. Just don't ever shut off the selector switch with the engine running. If you have to turn the switch with the engine running, turn it the direction that doesn't go through "OFF".