Well it depends on what that person has claimed and how valuable to the town you believe them to be, AND how certain you are that your investigation is legitimate.
So yeah like, if that person has claimed a REALLY POWERFUL PR, and you think sacrificing yourself as the cop is worth keeping that person alive for at least once extra day or night phase, then yeah go ahead and claim to save them.
If the person doesn't necessarily have the best PR or strong claim, but you think that that person's contributions and/or ability to scumhunt will significantly benefit the town in the long run and help get scum lynch in the future moreso than your investigations will, then yeah claim. It not don't.
Also, weight the validity of likelihood of your own investigation. How likely is it that this person is NOT a godfather? Are you sure you aren't naive or insane? What about the possible existence of a framer, lawyer, or tailor? If this is you first investigation, you really have no way of weighing just how likely your investigation is to be legit. Obviously if say, you've investigated someone but then they get NK'd or lynched and flip the same alignment that you had on them, that lends a LOT of credibility to your investigations, which then in turn allows you to place greater value on your role as cop.
So basically, you just need to ask yourself the question "Do the benefits of clearing this person and preventing his lynch outweigh the consequences of me outing myself as cop and placing a target on my back, considering whether or not it is likely that my investigations are actually legitimate?"
There's really no right answer obviously, but those are the criteria I would consider. Hope that helps. =)