I would keep on eye on plugs. No, actually I'd go up a main jet size or two to be on the safe side. Then adjust/tune from there. Its better to start fat on jetting and slowly lean it out based on plug checks and piston wash than to start lean, burn it down, replace the pistons/cylinders, and start over again.
Though, it really depends on how your jetting was with the air box. If you're right on the edge (small piston wash) with the air box, then removing it might make it run too lean and burn down. However, if you're jetting is rather fat already (large wash), removing the air box will likely get the jetting closer to ideal, and it will run better.
Hmm but then again, the air box allows the motor to draw in cool air, whereas filters make it draw air from the engine bay where the air is significantly warmer (and thus less dense) so maybe you'll have to drop main jet sizes (which would indicate you're losing performance, and is the primary reason it is often better to simply gut the air box but leave it in place so you still draw cool air).