If the owners manual does not warn against it, I would venture to say it would be ok for the tranny. However, it seems rather pointless to do such a thing IMHO, plus, you loose a bit of "control" over the car with it in neutral. I wouldn't bother with it personally, but to each his own I guess.
Tim (apparently likes "3" cars)
E90 M3 -- Current ride
2004 GT3 -- Sold
1997 M3/4 -- Sold
1995 M3 -- Sold