Technically, yes you should have weight in the car. The idea is that when you finally tighten up the bolts the rubber in the wishbone bushes is at neutral position so movement up or down as the suspension moves will be at a minimum. As an extreme example, if you tightened the bolts when the suspension was on full droop then the rubber would be under a torsional load at normal ride height and over-stressed as the suspension compressed.
That's with OEM rubber bushes. If you use poly bushes, it doesn't count because the stainless tubes aren't bonded to the poly.
Personally I haven't loaded up the car. What I do is assemble everything loosely, drive the car in and out of the workshop which settles it down and then grovel underneath to tighten everything up. Not technically correct but I'm ok with it. YMMV.....
Brian