Will "never auto-lock" affect the life of the iPhone?

Yes - since the battery is not user-replaceable and it has limited charge cycles, anything that causes you to recharge the device more often than needed reduces the lifetime before it needs a battery service.

Now, it's quite easy to replace the battery on an iPhone for a technician and Apple offers their service if you want a warranty or feel uneasy with yourself or a local shop doing the work.

The rest of the device is likely to last years before aging causes the backlight to dim or the other parts to fail, so in that case I would say no - you can't really run out of the rest of the phone's life by preventing the screen from locking.