I flick the thing into "0" all the time. Remember, this is a Manual tranny!
If you would do it with 3 pedals you can do it with SMG.
as to the engine braking, it is always better to stop a car with a $100 set of brake pads, than a $5k engine.
In the long term this causes extra wear on the engine that may bite you in the A$$ later.
Think of the rolling to a stop ? this way... if you were driving a 3 pedal car you could press the clutch pedal in and shift through the gears without engaging the clutch without any risk, and "coasting" to a stop with SMG, foot off the gas, or even covering the brake, is the same thing.
Life is like a B Movie, you wouldn't want to sit through it twice, but you'd hate to leave it in the middle!