Yes, your whole surface should be soft to accept pins if you choose to build with pins.
As stated above, it should be large enough to build at least half a wing. A common surface is to use 2' x 4' ceiling tiles on top of MDF. The MDF gives a stable foundation, and the ceiling tiles give a soft surface that will hold pins well. I've heard of people using soft pine as their pinning surface too.
Another method that I've started to use is to build on top of sheet metal using magnets. You can find information about this on Caffeemans' excellent web site about building at
www.modelairfields.com.
Scott