Using verbs with multiple meanings

Is it grammatically incorrect to use a verb with multiple meanings so that the meanings are used at once?

I'm thinking of a line from the classic Flanders Swann song Madeira M’Dear:

… he hastened to put out the cat, the wine, his cigar and the lamps.

Is there a name for this kind of structure?

This is an example of syllepsis:

syllepsis |səˈlepsis| noun ( pl. -ses |-sēz|)
a figure of speech in which a word is applied to two others in different senses (e.g., caught the train and a bad cold) or to two others of which it grammatically suits only one (e.g., neither they nor it is working). [NOAD]

It can be used to good effect or bad. Unless deftly handled, it can simply cause confusion or sound silly, as above.

For more information, compare with zeugma.