Yes, you can. I personally try to avoid setting the time forward when the watch is fully wound (as it's apt to cause the balance to knock), but that's a preference thing; many people don't think it matters (and on many older watches, it doesn't happen anyway).
The issues with changing the time (when running or otherwise) tend to be related to older watches (1800's era) and some complicated watches (some alarm watches, for example, will break if you set the time while the alarm is engaged, and some date watches can get damaged if you set the time while the date is changing).
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