No. There are no problems with switching oils at all. (Except switching to a crappy oil, because you're then running crappy oil.) Switching between grades of Mobil 1 is certainly not even close to an issue. I see you are from CA. If you are from So-Cal and never see sub-freezing temps, then 5W-30 is fine.
The difference between 0W-40 and 5W-30 is mininal except at very low temperatures.
The only time I would advocate switching becuase 0W-40 is definetly better is when you deal with sub-zero temps. When I start my car at -20�ºF, I want oil flowing as quickly as possible. It is academically a better choice all around, because of the more fluid (lower viscosity) characteristics at even moderate startup temperatures, but the real difference is probably negligible for warmer climates.
