It goes against my natural instinct to throw away eggs that are fertile, whether an embryo is developing or not. To me every egg is a potential baby. But I have done it when the eggs are less than a week into incubating and I really can't handle any more babies. The egg will cool and any developing baby will just stop developing and die. I doubt that it would suffer.
The hen will be upset and will probably keep setting until you break her from being broody. She may look for other eggs to set on.
Another option is to ask around and see if you can give the chicks away when they hatch. Or post an ad on Craig's List after they hatch. I've always been able to find homes for chicks when I didn't want to keep them.
