gardner:
The trick is that the battery may have a nice voltage like 8.5V with no load, but it may be good, in which case it will drop to 8.2V when you put a load. Or it could be dead, in which case it might drop to 3V when you put a load.Testing with no load tells you something -- obviously if the open circuit voltage is 3V, the battery is no good -- but it doesn't give you the full story.
Maybe you've had the experience of using a flashlight with a dead battery, and when you turn it on, it shines well for a half second, and then dims to nothing after about 3 seconds. If you measured the voltage on those flashlight batteries with no load, they would have probably registered alright. It's only when you put the load by turning it on that you see the real situation.
It's really up to you how you want to handle this. You haven't said what the project actually is, so I have no opinion about the relative risk of the two approaches. For all I know, you're building an oxygen meter for a critical care hospital -- or a timer that reminds you to change the water in you tropical fish. Arguably at different ends of a risk spectrum.
Not if you are the fish! 