I've successfully used a woodburning tool (kind of a really really hot pen

). If it is the end (kashira) of the bokken it will have no effect on strength, if it is alongside the tsuka I'd have a hard time believing that it'd hurt, that is not a stress point. If I was going to just engrave it I'd use a dremel type carving tool with a special fitting (www.woodcraft.com has several (no I don't have anything to do with them)). Either way I would for sure find a piece of the same type of wood and try this several times on it before marking up your nice pretty bokken

.
Hope this is helpful,
Paul