Most of mine are combed through twice a day (tails as well) to no ill effect - they are quite short though and we do buy show sheen in bulk to keep them silky soft!
Now that the weather's started turning, if something has found a muddy bit during turnout and got themselves caked, we'll leave it until dry, then rub out the worst bits with hands (think of rubbing your hands together to get warm). If it's warm, they just get the hose turned on them!
We've found that the Lynn Russell coat shine works best for us (even though it says not designed for use on manes and tails!) as it doesn't leave the same residue as some of the others - I'm sure other people will have their favourites though!