Making your legs fall asleep can be harmful to them if you do it too much and for to long. What's happening is that your blood circulation is getting cut off and if it's cut off for too long you may permanently damage your legs. I strongly recommend that you don't do it, but my legs fall asleep whenever I sit on my knees.
My legs fall asleep all the time (like right now). It is caused when you are cutting off circulation. So basically sitting with your legs crossed can make your legs fall asleep. I think it only becomes bad for you when you are constantly sitting for more than 30 minutes a lot.