Grass clippings and dead leaves are a valuable organic resource that will help keep your lawn healthy and vibrant. A mulching lawn mower can shred clippings and dead leaves which will work as an extra layer to help keep moisture in your lawn, also the added nitrogen will benefit your lawn. Some other benefits of mulching your lawn are you will not have to stop moving to empty the clipping bag and you are also helping the environment by recycling usable waste material.
You will not be causing thatch which is a dead layer of roots. Thatch is caused by overwatering and excess of fertilizer and not a cause of mulching.