I have all of them running into my TV from my cable box! I actually am going to leave HDMI my main signal source, so should I unplug all the rest from my TV or am I not doing any harm with them all plugged in?

Remove the Coax between the STB and the TV. Compare the component and HDMI, make sure both inputs are calibrated and use the one that looks best to you and disconnect the other.

thanks. Will the coax being plugged in cause any interference or something?

Not at all... as long as you don't mind having the extra cable.

No, just eliminating the chance of you picking the wrong input and not getting HD from your STB.