Sorry for the newbish question. But after reading the FAQ and how different consoles are from PC gaming, and the effort that goes into emulating them, I just have to ask if there could be any concern over damaging your hardware? I just built a new PC (intel, nvidia) and am curious about dolphin, but don't want to jump in if there's any risk.
Unless there's something wrong about your computer, dolphin should only harm your pc like any pc game imo.
The only way it would harm your pc is by the heat it generates, but this shouldn't really be the case as this is a problem with anything that uses a lot of resources. Don't worry about it.
As mentioned before, any game/application that uses lots of resources and causes your hardware to generate heat has the same potential to damage your hardware, only if you have insufficient/improper cooling.