Like the title says.

I've enable all four cores to run at 4.2ghz constantly at 100% usage.

Question is, does this have draw backs?

Slightly of topic my game keeps minimizing to desktop, any help?

Minimizing likely points to a background process.

Only drawback is if you generate excessive heat, shortening the lifespan of the components.

4.2Ghz? Which CPU? Watch your CPU temp and Core temps. HWMonitor is a good option for everything.

If your running all your CPU cores at 100%, how are you even launching the game?

And, yes, Overclocks can cause instability in a game, so try slowing it down to see if it's more stable.

Its an AMD FX4100 bulldozer 3.6ghz
It gets to around 63degreesC.

And you know what I don't even know but I am managing to run it. For about 5 minutes and then desktop.

The only thing bad about running the CPU at 100% is heat and power usage. If the CPU isn't above a set thermal threshold and you don't care about a higher electric bills you should be fine. The heat of CPU can damage other components by raising ambient temperature inside the chassis.

Skyrim shouldn't peg the CPU at 100%, but Folding@home (or similar) will.

***

What CPU do you have? What temperature is it getting at 100% load. Note: Just because you aren't hitting TJMax doesn't mean the heat isn't reducing the overall life of the CPU.

AMD FX4100 bulldozer at 4.2ghz at 100% will be around 55-60degreeC.

At 3.6ghz about 25-35degreeC

I haven't played with voltages though.

The maximum temperature (TJ Max... sort of) is 70C for the AMD FX4100. It is possible that 4.2GHz isn't stable at stock voltages, however you are very close the AMD rated max temperature.

Is there a reason why you are overclocking?

The AMD FX 4100 is turbo rated for 3.7GHz (4 active cores). A 500MHz overclock is quite an increase (for AMD).