How bad is it to work out with sciatica?

Don't hurt it more: Not necessarily. It is important to maintain a good level of activity but the presence of sciatic is usually an indication of an injury to the discs in your spine and you certainly can make that injury worse. Maintaining a good level of activity while not doing things that worsen your symptoms is the goal.

Core Exercises: Typically core strengthening exercises are the best to help relieve pressure and forces in the spine. I would try and google some or look them up on youtube to see descriptions. If you can do them yourself, wonderful otherwise ask your doctor to get a referral to a good physical therapist for further assistance.