It's not dangerous but it really cuts down on the efficiency of your furnace. With the cost of energy nowadays that is not a good thing. The reason your filter clogs up so fast is you have excessively dirty duct work. You should consider having a furnace company come out and do a thorough duct cleaning. Not only will this benefit your furnace it will make the household air much healthier.
Dennis (cut2it)
C&onstructi&on C&onsultant
Over 40 yrs. as General Contractor for new const. & remodel - retired with time for you.