If the Check engine lite is on than leave it alone. There isn't set intervals like Mazda and other manufacturers have.

As for damage it won't cause any to the engine. The O2 sensor is a measuring device that relays info to the PCM to tell it wether or not to add more or less fuel. It will only cause poor fuel economy and a longer term effect could be a damaged cat due to all the unburned fuel going through it.