Your choice whatever kind of pea you growing. If it is rare I would save seeds. If seeds are available form multiple vendors, I would not.

farmerdill, you misunderstood my question.

If you intend to save pea seed, it is best to save the first pods. The plants will set their pod load, then ripen. Yes, picking the first pods will encourage more to develop... but those pods would mature later. It runs the risk of extending into a hot spell, which might kill the plants before those later pods can mature.