There are a few ways to damage the CPU when overclocking. I will just assume that you have an i7, so this will be based off of that assumption.
1. Heat: Can quickly kill a CPU if the processor gets too hot for extended periods of time, the temperature limit before the processor throttles is 100C, but most recommend keeping a processor in the lower 70C's. Heat will only shorten the life of the processor, but the closer you run it to its thermal limit, the shorter its life will be.
2. Voltage: Can kill the processor slowly or quickly if overlooked. Intel recommends 1.35V or lower for the core voltage, anything above that may shorten the CPU's life, and going too far will instantly kill the processor(unless you have extreme cooling).
3. Trying to clock any part too high will also damage it. Most people seem to reach a base clock of ~200 with good air heatsinks. Trying to use a base clock of 300 will damage it, but if your processor could only reach 200 and you tried to do 205, it shouldn't affect it.