It wouldn't do any damage to your brain that's significant... It takes minutes of O2 deprivation to cause any sort of brain damage. Once there is no O2, anaerobic respiration kicks in, and makes ATP (energy for your brain cells) on it's own. Albeit, it creates less ATP, but once you breathe again, provided you're not holding it in for a minute or more, oxygen should jumpstart the aerobic respiration, and the ATP production in your brain cells will begin again.

So theoritcally, yes, it would be possible to safely get a faster and more intense high when you're winded.