Yes, but not enough to effect it in any structural way (unless you REALLY stick in a lot of pins. I do not stick pins in the spars. They're harder wood and there is a danger of splitting. That's when I use the rubber band between two pins trick. You should be careful when sticking into the edge of balsa - like sheeting over ribs - that you don't split the balsa. Titebond II or other white or yellow glues fill the little cracks if they do split.

It will also make your iron-on covering stick better initially and without developing air bubbles later on. It's true! The little holes allow the trapped air to escape.