Older CRF rifles were not designed to do so, but it was common practice during WW-1 and WW-2 for soldiers issued Mausers to squeeze the middle of the extractor spring as they closed the bolt. This would open the claw part enough to slide over the rim allowing them to add 1 more round.
Most, if not all modern CRF rifles leave the factroy modified so that they will snap over the rim as the bolt is closed. Many just don't do it because they aren't aware that newer guns have been modified or out of habit. It shouldn't hurt your Winchester at all. I say shouldn't because I have ran across 1 that will no consistently do it. Every other modern Winchester or any other CRF rifle works fine doing this.
With most CRF rifles I do this to get 4+1 capacity. Winchester standard calibers allow 5 in the mag so I usually just load 5 and close the bolt leaving the gun at 4+1. I could get 1 more round in there, but do not as a rule. But with magnum chamberings that are only 3+1 I do. If not you are left with a gun with 2+1 capacity.
I've never needed more than 3, but have used 3 several times to either stop a wounded animal from getting away, or to take multiple animals. I don't need a 20 round magazine, but want more than 3 available.