Bottom line:Don't compromise your design in order to take shortcuts creating objects. Do avoid creating objects unnecessarily. If sensible, design to avoid redundant operations (of any sort).
Contrary to most answers - yes, object allocation DOES have a cost associated. It is a low cost, but you should avoid creating unnecessary objects. Same as you should avoid unnecessary anything in your code. Large object graphs make GC slower, imply longer execution times in that you are probably going to have more method calls, trigger more CPU cache misses, and increase likelihood of your process being swapped to disk in low RAM cases.
Before anyone rants about this being an edge case - I have profiled applications that, before optimising, created 20+MB of objects in order to process ~50 rows of data. This is fine in testing, until you scale up to a hundred requests a minute and suddenly you are creating 2GB of data per minute. If you want to do 20 reqs/sec you are creating 400MB of objects and then throwing it away. 20 reqs/sec is tiny for a decent server.