YES it will hurt your engine to drive without an air filter.

Engine clearances (piston-to-bore, bearings, etc) were much greater in the old days. Premium models (like Lincoln for Ford) used to have engines that had hand-selected parts to fit tighter for more horsepower (almost like blueprinting an engine).

New engines have very tight gaps that trap dust particles carried in the air in the very small gaps and the particles act as an abrasive and eventually cause engine wear, resulting in oil consumption, loss of power, etc.

Steve

 

I cheated, I got a Trifecta tune to go with the K&N.