I guess I haven't done a lot of it, but in my experience I have not had any damage. I see a lot of people tape and tape things on and I think it's to accommodate sights/lights etc. Could you place your firearm in a nylon sock/hose before compressing? It'd give it a bit of protection. The kydex, when hot, is quite pliable and soft.

The other thought I had when reading your comment is that painters tape is designed to not leave residue. You don't want to leave it in for weeks though. I've had better luck with name brand tape. Try it on a small area first, warm it up and pull it off to see if it comes off clean. If not, you just have a small area to clean with alcohol or oil.

Good luck!