I have installed wordpress in a sub-directory called blg in my root folder. Also, I have served the website from the root following the method given in this codex. My question is, if in future I am planning to create my own website at root and giving a link for blog to the wordpress site in the directory, then my permalink are going to be changed. If this gonna affect my SEO anyhow. Can anyone explain ?
Depending on the authority of your website you will see a massive disruption in your rankings dude to 301's; ultimately the rankings will return to normal in a few weeks. (this of course depends on your distribution of 'link juice'). The new site you are creating will not suffer as you are doing nothing wrong.
If Wordpress is already in it's own directory, this isn't an issue. The permalinks will remain the same in the /blg/ folder.