When shopping for a mortgage, the initial inquiry on your credit report will have an effect on your credit score, albeit minimal according to http://www.myFICO.com All other inquiries in a 30 day period after the initial inquiry have no effect on the score as they are all treated as a single inquiry by the credit scoring system.
If you do not use the preapproval it will NOT hurt your credit score, only add an inquiry with a minimal effect.
A credit check was performed in order for you to obtain your pre-approval letter from your lender. You are able to have a credit check done a few times in a 30 day period without it affecting your total credit score if you are shopping around for a mortgage.
Since you already have your pre-approval then you shouldn't be concerned as it probably lowered your credit score very slightly if at all. It doesn't matter if you go forward with the loan or not as it is the credit checks that ding your total score.
Hope this is helpful.
Prudential Connecticut Realty