yes it is a bad thing. i dont know exactly what's doing to your capacitor but im sure it would wear it out over time. also, you can really hear it in the cab.
i outfitted my headlights with the Retrofit source HID's and had to the get the capacitor relay for the buzzing not to be there. It's easy to install and looks bad ass. Make sure you get 5000k for your headlights so it will match your LEDs. I got 6000k and it's too blue of a hue to it. Good luck.
I recently ordered a Performance Accessories body lift kit with their leveling kit to add a total of 5 inches of height. I also ordered some rigid industries LED Fogs with adapter bracket so I'll be uploading some pictures soon.