If I put too much signal through the EFX processor (eg on Stereo EQ) it gives a distorting effect, which I quite like especially though my Leslie 147. But I was wondering will this damage the circuit boards or any thing inside my XP-60? (This is not a distortion effect I'm adding to the sound, it's an overload distortion)

Can anyone help me out

Don't be afraid you won't destroy any thing inside the synth. The overload/distortion is introduced by the digital math in the EFX. The point is that the sound is digital from the beginning, so you're not overloading any analog inputs. As you know the synth has a limited number of bits to represent the samplevalues. When you mix the signal and the EFX and have them both high the result is sometimes above the maximum value and therefor it gets clipped: voila digital distortion I must add that THIS DOES NOT HOLD incase you're using an external FX box then you could end up frying the analog inputs