Is it ok to set the MacBook Pro to never sleep when plugged in?
You can leave your MacBook Pro running when plugged into an external power source. This should not dramatically reduce the life span of your computer.

Be sure to allow the display to sleep after idle time. Leaving a typical display powered on constantly can reduce the life span and cause problems.

When your Mac is not plugged in, try and follow Apple's notebook battery advice. Apple recommend running down your MacBook Pro's battery once a month or so. This will help maximise the battery's life.