If you are doing your project on company time or using other company resources, then you probably should do this. Usually, the company will welcome this kind of publicity.
If you are doing this in your spare time, you could either list your company, since they are your affiliation, or you could not give any affiliation at all, or use the local university. There are points to be made for each possibility.
In any case, it might make sense to discuss this with your manager. There will likely not be formal guidance from HR about this, but they may have some input, and it's always good to have talked beforehand.
For example, I do most of my scientific work in my spare time, but using my company laptop, and I put down my employer as my affiliation. They indeed appreciate the free publicity, and this helps me getting more acceptance when I do have a call on these activities during working hours. (But it did take me a few years to get into this situation.)