It was been my experience that flying sideways is not a big deal, it is a good way to get the feel of how your gyro reacts to strong ruder inputs, and if you need it to get straightened out for a crosswind landing you will be one up on the game.
Don't try this at low altitudes or high speeds, and be ready for the gyro to slow down when you turn it sideways. It is only natural if you induce more drag, for the gyro to slow down, just keep in mind the rotor doesn't care which way the airframe is pointed, just which way the wind is coming from.
As long as you keep the rotor tilted up in the direction you are going and the airframe level you will be fine. This is a simple explanation of a complex maneuver.
A fun thing to try is slowly going from full right rudder to full left rudder, back and forth a couple times and try to keep in a straight line. It is alot of fun and a good way get the feel of how strong your rudder is.