Sometimes I quit the game through XMB and then turn the system off. Other times I just turn my system off while in game. Sony wouldn't give you the option of turning your system off while still in game if it would destroy it,
Nothing bad is going to happen to your system if you turn it off while in game. The only time you will have a problem is if you quit/turn the game or system off while it is saving or loading something.
As for the ejecting....hell I turn my system on sometimes by pressing the eject button...no problems as of yet. *knock on wood*
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