No risk to the engine, specifically if they are just smoking lightly out the exhaust side, but if it is very heavy just replace them asap. I just installed "rebuilt" turbos and came across the same problem. I didn't listen to those who said not to buy rebuilt turbos and my passenger side turbo is smoking at red lights. However, my driver's side turbo is perfect. Some people have gone thousands and thousands of miles without problems, but not me. As far as break in, I wouldn't worry about it, but change them as soon as you get the chance.
