Anyone know what would happen if you run a humidifier with no water?

Does anyone that is running it dry have a ReliON? I got mine for like $20 at Walmart... Would I still keep the filter in it??? I called and the guy at the place said it wouldn't be a fire hazard, just probebly wouldn't last as long... With that said, Meeah IS sleeping right now with a noise machine. We put it right on top of the humidier to make it look like it was still it, but she's not dumb ;) Nonetheless, she is sleeping... But I don't like the white noise or the spring rain or the thunderstorm or whatever they all are, I still think the humidifier is more effecitve..