I always use redirects, rather than straight affiliate links.
It's not specifically because of
SEO, more for my own use as it gives me much more data that I get normally. When someone clicks on my redirect, it logs the click in my database before redirecting to the affiliate link. That way I can tell which products are sending over the most traffic to the merchants site, even if a sale isn't made (which means nothing would be logged at the networks site).
With over 90% of my sites at number 1 in Google now, I can't say it doesn't hurt
SEO 
I can't specifically comment though as i`ve done it from day 1, so haven't seen what happens on sites which don't have this.
In my opinion its worth doing anyway, because of the extra info it gives, allowing you to rearrange your pages to put your top sellers at the top.