I do it everyday. When wearing braids, I don't use any sprays or leave ins, but I wash and CW often, then sleep in a plastic cap every night. And my hair hasn't had any problems with this.
When I wear my hair out, I use SCurl as my leave in. I usually apply it to my damp hair in the morning after a wash and wear my puff all day. At night, I apply SCurl again, since on wash day by the time my hair is completely dry, the SCurl I applied to damp hair seems to be no more. I then put my hair in plaits, and allow it to dry some (I do this early in the evening) then at bedtime, I baggy. In the morning, the dampness from the baggy makes undoing the plaits and combing my hair into a puff a breeze. One the night of Day 2, no more SCurl is needed. My hair still feels moisturized and soft. I plait, and baggy again and enjoy the ease of styling in the morning. Because of the baggy, I never have to apply anything more to my hair till wash day. It stays soft and moist.
I've baggied for so many years, that sleeping in a plastic cap is now second nature. I don't think I ever stopped ever since jheri curl days. Whenever my hair wasn't relaxed, I baggied.
NB: I have never baggied damp hair. Besides the dread that I might catch a cold, going to sleep with damp hair seems to give me a stiff neck. Then my overactive imagination gets visuals of "mildew" - as one finds if clothes are stored while damp - and the thought makes my head start to itch.