Classical knurling is a metal displacement operation - that's why you can increase the diameter of a shaft by knurling.
Since you're displacing rather than cutting metal, there should be no chips. Nevertheless, I've found that, especially with certain brasses, small bits of metal can be broken off during the knurling. If not washed away with a steady supply of cutting oil (or other liquid) they can mar the finished job.
Flush the knurls and work generously while doing the work. A pump oiler is good for this - small brushes tend to get sucked into the knurls - not a pretty sight.
Also, don't wear a tie or hooded sweatshirt with dangling drawstrings while knurling lest you get wrapped up in your work.
