They're not harmful, but it's not like they're super beneficial either. They eat gunk in the sand, but so does many other more interesting and attractive members of the CUC. They can get to pest proportions (and also huge) if enough detritus reaches the sand bed. Personally, if you have just the one (which is unlikely, there's always more you don't see), then I would pull it. They're impossible to get rid of without changing out the sand.