If you look through the Dodge fourm most do it with it running but not all. I find it funny how some get sooo fired up about it, and the guys who did it running all say it was no problem. H&S says do it running. I think I might try the pressure up from the back end trick as I like the idea of pressure blowing out the chips IMO.
It isn't a problem unless the bit snaps or something else bad happens, like you place your hand wrong and meet the fan, etc. So that is why a lot of people will say they have done it no problem. Most gauge/tuner instructions will say truck off also. Plus with it running, you have shaving flying around and not a good thing if they end up in the eye (ya it can happen with safety glasses on).