- Do I risk being denied entry to Ukraine anytime later if I visit Crimea as a Russian citizen?
No, simply because the Ukrainians won't know about it unless you try entering Ukraine from Crimea or, carry products labelled as being from Crimea, or are famous enough for your visit to reach the media.
- Are there any documents I should file to the Ukrainian authorities?
No, there is nothing you as a touristcommon visitor can do to make the Ukrainians approve of you visiting Crimea.