There is no risk in stopping your periods. Historically the oral contraceptive pill included the sugar pills so women would have their period to know they weren't pregnant (back in the days when pregnancy tests weren't as available) and also some women feel stange not having them.
Most doctors will recommend going three months and then having a period by taking the sugar pills but there is no harm if you don't have one for extended periods of time, some suggest every 3 months because otherwise you might get some breakthru spotting/bleeding without warning, but some women have no probs.