As AVR points out, the traditional failure mode with decade resistance boxes is that the lowest value resistor(s) get toasted.
If, like me, you don't trust yourself not to make a mistake, then you might like to take precautions.
Determine the max allowable current through the low-value resistors. That should be written on the decade box.
For your power supply, determine the resistor that would allow that current to flow; simple R=V/I.
Insert that value of resistance in series with the decade box; even if the decade box is set to minimum ohms, it will not be damaged. Of course the combination of the decade box's max current R might be too high for your tests. In that case you will have to get a higher power decade box, reduce V, or be careful and hope you don't slip up
