It's ultimately up to you, but I would think weighting it down might flatten the whole piece down. That is, if you want the piece to maintain any loft that is in the yarn, weighing it down might work against that.
It's a trust issue too. I don't trust what I can't see. Once it's folded, are you SURE everything is lying the way you want it to lie?
I prefer to wet block wool. I either wet it first and pin it, or I've also pinned and sprayed. Pinning and spraying seems more gentle to me, but I end up with pretty flat edges from either of these methods.