It really depends on what your objectives are and how much you are willing to invest. The best setup IMO is the Koni/GC coilover kit. The springs can be ordered to suit what you want to do. The shocks are top of the line and will match the spring rates and drop correctly. Although I have a different sleeve the shocks and spring rates used on the CRX work very well together. If you are doing a show setup and nothing more-that is something very different from a track car or even a HPDE/Autocross/Daily Driver. Be sure to tell the supplier exactly what you are doing.
Do coilovers hurt the car-NO. That is if you understand what they really are doing and the impact on alignment and tire wear. There should be few issues witht he chassis if you DO NOT SLAM the suspension and drive it that way. The CRX has very tight clearnaces up front for suspension travel without things hitting each other.

Hope this is a start for your project. Take your time and don't scrimp on the components.