Yes, it's a bad thing. You're telling the OS that you know more about memory management than it does, which probably isn't true. You're telling to to page all your inactive memory to disk. It obeys. The moment you touch any of that memory again, the OS has to page it back into RAM. You're forcing disk I/O that you don't actually know you need.
If the OS needs more free RAM, it can figure out which memory hasn't been used lately and page it out. That might be from your program, or it might be from some other program. But if the OS doesn't need more free RAM, then you've just forced a bunch of disk I/O that nobody asked for.
If you have memory that you know you don't need anymore, free it. Don't just page it to disk. If you have memory that the OS thinks you don't need, it will page it for you automatically as the need arises.
Also, it's usually unwise to call Application.ProcessMessages
unless you know there are messages that your main thread needs to process that it wouldn't otherwise process by itself. The application automatically processes messages when there's nothing else to do, so if you have nothing to do, just let the application run itself.
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