It can cause damage to the transmission if you should shift it back into gear at a high rpm. It's pretty safe to shift out of gear and into neutral but you really shouldn't shift it back into gear without stopping. I would keep it in gear and just play around with engine braking (downshifting) instead of shifting into neutral if you want more of a manual feel. I'm not 100% sure if the computer steps in (lag) to prevent damage but it's possible.
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[09][MB][6-Spd MT][Touring][Stillen Gen III][K&N][Borla CBE][Evo-R]
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