For .22 RF, only dry fire if the Owner's manual says it's OK, otherwise, use a snap cap or a spent case. The firing pin striking the chamber can, depending on the firearm, peen it enough to cause problems in a very short while. Also, the firing pin striking something of similar hardness can induce stress into the pin itself, causing breakage [usually at the worst possible time]. Think of the stresses involved in a piece of metal going from zero to a gazillion miles an hour to zero in a fraction of an inch. A case, primer or snap cap serve to cushion the stop and contribute to the life of the firing pin.
And don't ever dry fire a spring piston air gun. Without the air cushion provided by starting and launching a pellet down the barrel, the piston will slam into the end of the cylinder with considerable force, ruining the piston head and seals with just a couple of "shots".
Done safely, and not taken to an extreme, dry firing is a very useful tool in acquiring and maintaining skill with a given firearm. Safety is the key - Unload the gun, unload it again, take all of the ammo for it and put it in another room. Run your exercises, and when you are finished, put that gun away for a while. Until you get out of the "Dry Firing Mental Mode". [If you feel the need to be armed during this waiting period, grab a totally different kind of firearm - a carbine or shotgun instead of another pistol, for example - to make bringing a gun into use a totally different experience.] This may seem extreme, but it sure beats "explaining" a hole in the TV, fridge, window, wall or person.
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