which gear should I use to make the slash go faster the saller one or the thicker one? also would one keep the engine cooler so it doesnt get so hot

the smaller one will keep your engine cooler. the larger one is for higher speed

if i use the larger one and use my battery till its out can it hurt the motor

Just to clarify, you are talking about the included pinion gears, right?

Yes you can hurt your motor, the bigger gear will give higher top speed but less acceleration and more heat. It if very likely you could damage your motor for the extra heat build up.