I found one in our living room the other day and let him go about his way. There may be something to maintaining a little variety in the household critters. I've noticed lizard hatchlings about recently, but they seem to get eaten by the geckos.

Yeah, those geckoes - people say they eat the insects, which they do, but they convert it into a surprising amount of crap which is not that nice - they kind of need their checks and balances as well. I've got a rat in the roof - i think he does actually keep their numbers down a bit.
Here's a picture of the brown hornet - i don't know if it's harmless, but it's not aggressive and they only nest as a couple - had a couple nesting on my porch since summer. Unlike the tiger heads, they are not particularly good fliers and it's funny watching them clumsily bang into things when they are trying to get back to their nest with a bit of wind about.