ABSOLUTELY!!!! Otherwise you will miss the full potential of this speaker.
Use 40-50 lbs per speaker and you will notice a dramatic difference- tighter, more powerful bass and a generally more dynamic speaker. You can find lead shot reasonably priced at gun and ammo shops. About $15/25 lbs. The shot size doesn't matter much - I used #8, I think.
Another highly recommended tweak is to apply Walker SST sliver contact treatment to the internal connections of each speaker/driver unit; the woofers, mids and tweeters. The VR4JRs become even faster-sounding, more open and clearer than they already are.
p.s. these speakers take about 500 hours of burn-in