Tarmac
i sincerely doubt the GMAT deducts points for guessing right (some people are so smart they know they answer in 10 seconds, other people take 10 seconds to guess, the GMAT cannot make this distinction), but personally I believe YOU MUST FINISH. I cut it really close, I had about 1:20 left for the last 2 questions in Quant, I had to make educated guesses, in retrospect I think I got both of them right but it was not an ideal situation. You must finish.
Tarmac: dude, its just a myth, but the source came from my gmat tutor. This kid is the granddaddy in developing strats for gmat. Being in China, a great advantage is that we take our cram schools dead serious. This dude, no joke, took the exam 18 times, each time getting 780+, and was BANNED by the GMAC. This dude is on their blacklist. He and a few other tutors takes the gmat FOR FUN. These guys have tried almost anything imaginable on the exam, e.g. kicking the computer during the exam to see wherever what would happen, wasting 10 mins on the 1st q, etc.
The difference in marks is not that u're penalised for guessing right, but on a relative scale. i.e. if u got the 1st q right within 2 mins (550)and u spend 10 mins on the 2nd q, and still get it right, u'll probably end up with 600, instead of 620 if u actually done the q in 2 mins. THIS strat only applies to if you want to average out ur time and serves as a reminder NOT to indulge urself too much on a question, but if u could make 2 guesses with a minute to go and get it right, the gmat would still grade it accordingly, its when you take TOO LONG that starts to hurt ur marks.