The use of oxygen can sometimes have harmful side effects. Specifically, oxygen is very flammable, so it is best to never use it near fire. Additionally, some collectible items can fall apart when they are exposed to oxygen. This applies particularly to paper items.
The oxygen in the tank is certainly not harmful, but only benefits you if your body is having difficulty absorbing oxygen from the regular air. Low blood oxygen can cause a lot of problems, so you are best to follow your doctor's advice, take the oxygen and make it easier for your body to heal.