Never had any damage to lenses. The most damaging to the eyes is UV from the arc, which is heavily attenuated through the lenses and viewfinder. I focused and composed for the shots during live arc thousands of times, never had an issue. But if you can pre-focus and pre-compose, do it by all means. There is certainly a risk of getting an eye burn, which is an unpleasant thing.
Most of the time I use medium telephoto lenses, with deep hoods to prevent flare. I prefer not to use flash, shots in daylight or halogen lights are usually render sparks better. Halogen lights filtered through Cinegel CTBs. No filters on the lenses, except for the cases when I need to capture the arc itself, molten metal drops, and welding pool. In this case, IR filters are better then welding shields. For IR shots you can use flashes for some fill-in.
If you are going to use welding shields, look for shade 8. Newer "gold" welding filters are rendering better then older green ones, and have 2 stops better transparency then equally shaded greens. This, with good ambient light, makes for scene shots.
UV shots are also very beautiful.
