I read a few pages, I didn't go through everyone because I know I wouldn't do or try to do something like this in a thousand years so a good chunk of it-such as guides to doing it-seemed to be more out of what I need to know.
So, basically. An imaginary friend, not there. Technically sentient, know how you feel and is a part of your psyche I don't see no harm from this, the only way I could imagine a self made imaginary friend being harmful is your are already mentally unwell or experience chemical or traumatic change whilst having it. The worse way this could be dangerous I think is if you have a habit of feeling guilty/remorseful and need to be punished or self loathing at points-thus anything you make will normally a have dark undertones relating to those strong emotions and thought process-
This seem to be a bit of thing, I've heard about this Tulpae community in a good couple of places, some unrelated to My Little Pony at all. I...personally don't see the appeal although generally messing with the mind has a thrill to it all that we can't deny. I can get why people think this is dangerous though because doing any sort of mental man handling entails a large section of risk. The brain is a pretty delicate organ, especially when in the hand of the holder.
I would never do this because I suffer with some stuff and there a good chance any sort of experimentation I take would end up getting mixed in the pool of my mental mishaps, that the last thing I need in my life but...reading it..sort of makes me nostalgic...It reminds me a little of how I thought of things and personified aspects of my personality. Ended up talking in conversation in the end when I thought instead of thinking normally at all times, but then again I NEVER slept peacefully and was haunted by nightmares so its a good chance that was caused by my delirious state...that or it was just pre-programmed reactions to keep myself entertained as a kid when day dreaming in class, most likely a mixture of both.
You know what would be cool. A thread specifically for people to draw their tulpaes and do art trades and all that jazz. The thread got a lot of replies and still strong, so the community in the MLPforums is obviously there.