Good way to have an accident and make a bad situation worse. Why? Because I would bet that 99% of the vehicles on the road are running power steering and power brakes. They don't work well without the engine running.
OK, I revoke that bad suggestion. I've never done it in an automatic transmission before -- in a manual, you just use the clutch for most braking at those speeds.
Not to mention a lot of cars with auto trannies won't even start without being in "Park".
Bad setting to move your gear selector to in a moving vehicle with an automatic transmission.