They'll kick you out for that. I'm pretty sure soxfan has unleashed a story about that very point, now somewhere in the bowels of WNFF.
I've been to at least 100 games at Wrigley and outside of one where some dumbass threw it into the stands and not back onto the field I haven't seen an ejections. Granted, my last game there was six years ago so they might have put the clamp down on it.