It depends on the packaging. They're supposed to be protected by the sheet of cardboard they're with. However, since they're held together by essentially a penny sleeve, sometimes if the box of toys gets jostled/rummaged through too much the card slips out of the sleeve. I've been lucky so far, my McDonald's treats their toys very nicely. I've gotten 12 toys and not one was dented. Other McDonald's... well, I don't want to say they don't care, but they're not as careful as they could be.
.....And if there had been a tiny spot of tape placed on them at production, we wouldn't have to worry at all. ^^;