That's a good question, particularly If the saddles are powder coated. In that case, the most important question might be whether the powder coat is conductive. You can test this by touching the saddle with one electrode and the base of the bridge with the other electrode on an ohm meter. If the meter goes to zero (or close to zero) you have continuity, and won't need to worry about scratching the bridge.

I don't have any powder coated guitar parts, but I do have a powder coated jack stand in my garage. Just tried it, and the powder coat was conductive. I don't know whether this is always the case, but since the way a powder coat is applied is with an electrostatic charge, it stands to reason that at least some powder coats will be conductive. If you get really lucky, your hardware may actually anodized black...which I think is always conductive.

In any case it's worth testing if you have a meter.