There is no health risk associated with doing that. It seems like a lot of time investment for something that won't look like real hair and will wash off. It will look like you drew dots on your head to everyone else. However, if this is for a one-time costume, it won't hurt you, healthwise.
I'd wonder if there might be some danger with the ink absorbing into your scalp, but other than that, I can't see a danger.
I'm with Curfew - it seems like a lot of trouble. If you are trying to cover a bald spot or something, just embrace it. Confidence is sexy.
My husband is balding, and except directly out of the shower, his scalp feels the way my hands do when I put on hand lotion. It's natural oil that all scalps have, hair or not. If someone took a fine-tipped marker and tried to draw hundreds of little dots on his scalp, the marks would not stick very long (or at all -- ink doesn't like an oiled surface). The ink won't hurt a person getting drawn on, but the dots would just wipe off or even be diluted by the oil and disappear without the need to wipe them off.
I agree that a bald or balding man is just as sexy as one with hair on his head, and if your concern here is to try to cover a bald spot, I hope you come to the realization that sexy has nothing to do with hair, and rock your sexy pate with confidence. Think of Jason Statham, or Dwayne Johnson (The Rock), or Bruce Willis, or Terry Crews. There ain't nothin' bad can be said about those boys' sex appeal. :)
If you feel you need a temporary cover-up for one event, there are spray-on (kind of weird) products made for this very purpose. Basically, they're a fuzzy-looking solid color made to blend in with the hair color instead of having a bit of scalp show. Guys in the public eye who feel their appearance affects their ability to make a living (such as in Hollywood or on the evening news) are known to use them. They're for someone who just has a little patch where his scalp is showing (like if his skin is pink and his hair is dark), not for someone to spray his whole head. My thought is, don't bother unless you are just doing this for a party or a gag.