This totally works for me. At work, I sync my Visor Deluxe to our internal corporate, marketing and editorial databases. At home, I sync with Entourage. (Prior to Entourage, I used OE 5.02.)
You have nothing to worry about. Just make sure to use the same user name on both platforms ... and that you have enough memory to hold the contacts.
If my building were destroyed and I or my Visor wasn't in it, I would have another level of backup with my handheld. Plus, I can now work from home without having to login to my corporate network.