I don't believe it is bad for the amp to play at low volumes, but valves amps generally give better tone when cranked up.
To avoid blowing your eardrums or having your neighbours declare war on you, get a speaker attenuator, which lowers the volume coming out of the speaker, while the tone is still awesome.
Graeme Parfett , a forum member, developed the Tube Tamer which he sells, have a look here
http://www.tubetamer.co.za/