Not in thicknesses typically used in race cars. Proper TIG techniques to keep the heat affected area to a minimum and getting tight fits at joints is needed though.

As per Lincoln Electric:
Q. Do I need to heat treat (stress relieve) 4130 after welding?
A. Thin wall tubing normally does not require stress relief. For parts thicker than .120", stress-relieving is recommended and 1,100ºF is the optimum temperature for tubing applications. An Oxy/Acetylene torch with neutral flame can be used. It should be oscillated to avoid hot spots.