I've done this with 4 related sites. I've seen little to no improvement as far as SERPs are concerned, at least not for the big money keyword. In fact, it seems like I've helped them more than they've helped me.
I don't think you will get penalized. Do it for your users and the sake of advertising, not for Google. If the sites you want to link with are your own, make sure they all have different content and different ip ranges.