Unfortunately, overclocking on the Pi2 does not really do much. For some very few systems / games, it brings a little more FPS (so for games, that almost run full speed (like 90-95%), overclocking can cause it to run at full speed), but you should not expect miracles.
Overclocking does not damage your Pi2. The only negative things, that can happen are overheating (but then the Pi will automatically throttle itself and after that shut down by itself to protect it from overheating/burning) and that it runs unstable (freeze/shutdown, not booting anymore).
So you can just try overclocking and see, if your Pi2 runs stable and if it enhance the performance for the games, you play.
My Pi2 unfortunately does only run in high and not ultra settings (when i try ultra settings, it shuts down and does not boot anymore).
But then you definitely need a good power supply and you should use a cooler with a fan or at least a large heatsink, as overclocking raises the power demand and temperature significantly.