It should be fine. I've had my C750 on with the wireless card inserted and on, but not actually doing much, for a couple of days at a time with no problems. My 5500 has been on in a similar state for around a week or so continuously in the past and that's been unproblematic as well. The only possible heat problem as far as I can tell would be from the wireless card if it's active all the time, but I can't see it being at all destructive even then, particularly for a C860, with all that extra air in the battery cover to cool it down.
More pertinently, how would you attach a USB hard drive to a C860 while there's a wifi card in the CF slot? -- Unless you're planning on using one of those SD wifi cards, I guess.