Well I would think if your down-shifting then your slowing down, and the brakes are meant to slow you down! The engine on the other hand is not meant to slow you down, it is meant to make you move faster. So the brakes are for slowing down and the engine is for speeding up, therefore you should be pressing the brakes when you are downshifting. Don't use the engine compression to slow the car down, its not really what the engine is designed to do. I can't say whether or not it hurts the engine (unless the revs are too high) but the car has brakes - use them, and blip the engine if your still going too fast when your releasing the clutch.