If it works for you, the only downside I can think of is that the MBP can't cool itself as effectively when closed as it can when open. In what Apple calls "clamshell mode", with the display closed, the AC adapter and an external monitor, keyboard and mouse connected, the computer is fully operational except that its built-in display is turned off. In FW Target Disk Mode, the computer is much less fully operational, but its display is on (even though all it's showing is the bouncing FW logo). And Apple doesn't say anything anywhere, as far as I know, about closing the display in that mode, so it's not clear whether Apple considers it an acceptable, unacceptable or neutral thing to do.
Therefore, I would suggest doing it only when you're going to be on hand to check the MBP's external temperatures while large file transfers are taking place. If the case ever feels uncomfortably hot, open the display just to be safe. And if you ever do find it necessary to open it up under those circumstances, be doubly careful in the future about using the machine closed in FWTDM when the ambient air in your workspace is unusually warm, because that further impairs efficient cooling.
