The only speculative dangers of using rel=”nofollow” for things like affiliate links is that it’s not what it’s meant for per se, so SE’s may start penalizing it at some point. It’s meant to counter blog spam and guestbook spam, to say “I don’t approve anything here, it wasn’t necessarily added by me”.
Nevertheless, I also use the tag for my affiliate links. Just figured I’d give you a heads up on what maybe could be a danger. And it’s good to know that you don’t get penalized for multiple permanent redirects – puts my mind at ease. 