the vacuum lines will be connected on the ENGINE side of the first/primary air filter element. you should NOT drill or make anyholes on the engine side of element otherwise, whats the point in having a filter.
Right in terms of *damage* you may find that on a cold morning (if you remove hot air feed aswell, usually comes from a metal duct that feeds from under exhaust manifold) it will not run great, and when you accel from say <2000rpm the engine will *stumble* where instead of it picking up, it backs off, then picks up.
you might also find your fuel economy could go down (although it would be so neglagable that a feint breeze going the other way to driving would counter it)
and it makes a lot of noise,
SOMETIMES, you may actually loose power at the bottom end, but gain a bit at the top, its all trial and error,
I would suggest going to a scrappies and buying an airbox that fits your car and engine (model doesn't usually matter, but engine size and TYPE does) and then modify that, try it on ,and if its pants or you find its affectinging your engine adversly put your std one back on
Oh and a battery dremel with a cutting bit does the job great
