I do it occasionally, it just flys into gear no grinding, nothing. I'm not sure what this hurts. Chevrolet even advertises that the new Colbalt SS/TC can do this.
"The SS Turbo now features "no-lift shift," which allows for quick upshifts without lifting the throttle."
SS at SEMA: 2008 Chevrolet Cobalt SS Turbo and HHR Panel SS Concept - Auto News - Motor Trend