Well it can't hurt. If you're worried about too much wax being on it, then don't be. As long as you scrape off the excess wax, and you have the time and skills - go for it.
If you've just got your first board, don't know how to do your own waxing, and can barely afford the lift ticket - then it sort of depends. Most manufacturers apply some form of waxing to the boards before they leave the factory - but not all do. Scrape your thumb nail (you don't bite them do you?) across the base and see if any wax lifts of. If not, it's either not waxed, or it has been scraped very well!
Personally I've never waxed a new board until after a couple of days
riding on it, and I have no excuse as I have the tools and
knowledge. So far, I've not had a problem (see general disclaimer).