They typically won't harm other eggs they are attached to. However, I normally remove them. This can be a messy process, but I will try to detail it below.
I wait until the dead egg gets kind of firm (this will keep the mess to a minimum, and I cut it away from the group. Do this by actually cutting into the bad egg, and cut around the stuck portion. In other words, when you are done, the good egg will have a little circle of the bad egg still stuck to the good egg. I don't have a pic of this, or I would post it, but I hope you understand what I am saying.
With all of that said, I don't run into this problem very often, because I seperate all of my eggs at laying.
Hope that helps,
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