I want to set my companions as SetEssential with the console.. that way they cant die.. will anything bad happen if I do that??
Nope, as a rule, setting a "non-essential NPC" as "essential" won't mess anything up. Since followers are all non-essential, you can set them as essential. Except for one quest where you have to sacrifice a follower (Boethiah), which won't work if this follower is essential, obviously.
But don't, I repeat, DON'T set an "essential NPC" as "non-essential", which can greatly mess the game.