Dont you look at your fuel computer? When you are getting low it usually displays 30 - 35 miles when the light comes on, then after that its dashes on the display and a good idea to fill up. By all means run it out once as it wont do it any harm, as you run your car lower and lower on petrol and as the remaining petrol is sloshing around the fuel tank, there will be moments where there is no petrol actually reaching the fuel pump. As a result of this, the fuel pump will be running dry every so often. Though this isn't at first continuous, this does do it damage. Especially as fuel pumps actually heat up as they run dry so when you do finally run out of petrol, you'll be significantly reducing the life of your fuel pump. If you have an old fashioned turbocharged engine, a sudden lean mixture may detonate and blow a headgasket or shatter a piston. This is why race cars run with secondary fuel tanks or a fuel cell that won't slosh fuel around the tank and cause intermittent feed to the fuel line. Damage can only be expected from highly tuned and precision made engines.
For a diesel engine, the fuel lines must be bled because air bubbles will cause knock and detonation in the engine. The air to fuel mixture for a diesel demands more precision because it has no spark plugs.
Anyway, I wouldn't do it cos I keepmy tank at least 1/4 full all the time.