How do I drill a hole in a shelf without going all the way through?
Yes, the drill chuck will mar the finish of the shelf.  There is a slight chance of damage to the chuck. Plus, choking down on the bit, like that, obscures your view of the hole (the drill and chuck block it) -- making precision harder to accomplish.

The correct way to do this is to use a drill stop.


Drill stops are less likely to slip than tape or zip-ties, and are much better for precise and/or repeated drilling.

If marring the finish is an issue, clamp a piece of 1/8th plywood over the site and adjust the drill stop accordingly.

PS: A piece of wood over the hole is usually a good idea anyway, when drilling finished surfaces.  It helps reduce both splintering and the scratching that occurs when flakes of drilled wood or metal whip around the bore site.