No it's not a bad thing to swallow egg shells.
Even though egg shells are not really very appetizing it's actually healthy for you to eat and swallow egg shells.
The egg shells provide you with calcium which is good for strong bones so your health will actually improve or should improve if you eat egg shells.
But I would not want to eat egg shells because they are very crunchy and hard to chew and could pose a choking hazard.
But you could probably grind the egg shells up into a powder form and take them that way to get your calcium intake.
But if you do swallow some egg shells or pieces of the egg shells it's not harmful.