I like doing this sometimes- Setting the ISO to its highest and taking a picture of the Sun at sunset. The result is a cool looking shot with a huge "ball of fire".

What are the consequences of doing this? Should I stop?

Yep you should stop.Its highly addictive :D

You'll damage your sensor because of UV rays. That is why many DSLR users cap a UV filter (also to protect the lens).

It's not too bad for a dslr - the sensor is only exposed when the shutter is open although the light meter might not like it. Point and shoot digi-cams are another story though as the sensor is always exposed and will get damaged from too much exposure to direct sunlight.

Yep if you point any CCD into the sun the sensor can be permanently damaged. I strongly recommend not pointing things at the sun. It's the same if you pointed your eyes at the sun for too long.

I can understand sensor being damaged during the midday, but at sunset??? BS.

And it is not UV rays from the sun that might cause damage, it is the heat. UV filters are strictly for protection of the lens only. They serve no other purpose in digital.