Yes, you definitely have to plug the hole. Some folks use a sponge-type ear plug that expands. Also, after you are done assume some shavings have entered the combustion chamber. Make a small attachment (like a plastic straw) that is duct taped to the end of a shop vac to suction out the chamber through the glow plug hole.
Be very patient when doing the heli-coil. Remove everything you can to gain good access. Make sure your new heli-coil threads are at the proper depth compared to the original thread location. Finally, do not touch your drill bit to the seat of the glow plug hole. This has a specific angle to the recess that you don't want to damage. Take a look at the shoulder at the bottom of the glow plug near its tip to get an idea of what I am referring to. You can use a glow plug for reference as to the depth of some of these landmarks.
Good luck,