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Cardboard milk cartons (top and bottom cut off) work great for this. And they blanch the plant as well. You can also use hair bands, like the kind that a person would use to put their hair up in a pony tail.

Celery tends to be a fiddly plant that can be a challenge to grow well in a home garden. But it's definitely a fun project and worth a try! See the following articles for tips:

https://www.gardeningknowhow.com/edible/vegetables/celery/tips-on-how-to-grow-celery.htm
https://www.gardeningknowhow.com/edible/vegetables/celery/skinny-celery-stalks.htm

No, it is not harmful. Here is an article that will explain why celery is bitter: https://www.gardeningknowhow.com/edible/vegetables/celery/bitter-tasting-celery-stalks.htm

You are far from the first gardener with this problem. In fact, we have an entire article about it. Your thin celery could be due to a few problems. The most common is immaturity. It could also be too much heat, not enough water, or not enough nutrients. Take a look at this article and see if you can pinpoint which one it is: : https://www.gardeningknowhow.com/edible/vegetables/celery/skinny-celery-stalks.htm

Garden grown Celery is best harvesting after a technique called 'blanching'.
This article will help you.

https://www.gardeningknowhow.com/edible/vegetables/celery/harvesting-celery.htm

Here are some reasons your celery's leaves might be turning yellow:
https://www.gardeningknowhow.com/edible/vegetables/celery/yellowing-celery-leaves.htm

Low nitrogen can be one cause. Compost is a great source of nitrogen for celery. An alternative is to add 1 tablespoon (15 ml) of a 10-10-10 fertilizer next to the plant every 3 weeks, then water it in. Make sure the fertilizer doesn't directly touch the stem.