I am not sure how one could harm himself or a gun by not having a headspace gauge. If you undersize it won't fit. If you oversize(for your chamber)then worst case is your brass life will be shortened and at some point if you are not paying attention you may get a case head separation.
I mean, that's it right there.
If your shoulder is too long MAYBE the bolt doesn't close enough to allow the gun to fire, maybe it does but doesn't lock up well and you stress your locking lugs.
Maybe your too short case ruptures entirely.
Either way, you can
KB your rifle. I'll grant it is unlikely, but the cost of a gauge is so low I don't understand why you wouldn't.