Somewhat dependent on your camera and your computer savvy.
If you use a camera body that employs CF cards, then there is a risk of possibly bending the pins in the camera body upon reinserting the card. This is not a high risk but can happen. Poor quality cards, damaged cards, counterfeit cards, all increase the risk.
There have been people who have had issues doing an out of the camera format of both CF or SDHC cards. The advantage of working "in camera" is once your images are removed, then you can do a low level format and the file structure will most certainly be what the camera wants.