If you do not let off the throttle, you'll put more wear on the clutch, cuz the engine will rev up when you disengage the dogs. If you aren't using the clutch and shift like that, you will certainly damage your transmission over time. It is best to let off the throttle a bit for a split second as you shift, so that the gears are more closely matching speed, clutch or no. When doing agressive downshifting, (ie to a gear that puts you in high rpm) you will conversely want to blip the throttle a bit (or let off less, depending on how much throttle you are already giving it) while shifting.
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