It's possible to get the sound of a power drill to come through an electric guitar's pickups. Paul Gilbert does it at the start of this video. Does this adversely affect the pickups when done for long periods of time? Will it eventually damage them?
The EMF won't do any damage to the pickups (or the amp, for that matter... one of the longer-remaining applications of tubes outside music was in military electronics, because unlike solid-state elements, tubes hardly bother about the electromagnetic pulse of a nuclear bomb until they're melted by the heat. And the speakers are driven by the tubes, which aren't spec'd to be able to damage them.) If there is something you might worry about a little, it's excessive mechanical vibrations – those can damage solder joints, the thin pickup wire, or even the magnets. But as long as you can painlessly hold the drill in your hand, this shouldn't be an issue either.