If it's locked up, it's hard on the converter clutch. It's not intended to bear much load, which is why it was designed to unlock before a shift.
Real light throttle I doubt it will hurt MUCH, but it's supposedly not a good idea. My buddy has quite a few hard hard miles on his Monte SS with a built motor and the TCC solenoid "forced" on with a checkball, so I dunno what the life span is. Guys at the track will tear them up in pretty short order with full throttle shifts, but the ones I was reading about were in the 10's too. Trucks are heavy however, and that counts for a lot.