I suppose you could cause a short if you wire it up wrong, but the wiring is extremely straight forward. I don't know what sort of a problem a short might cause.
The red wire carries the red signal. The blue wire carries the blue signal. You get the idea. Black carries ground and the one left over carries sync.
R/G/B/ground/sync
Tada! All those lines are clearly labeled on a JAMMA harness diagram. Sometimes they're even printed right onto the JAMMA harness.
In all honesty, the item most prone to damage would be the converter, itself.