Personally I'd plane or sand them. My reasons would be so you're less prone to gettting splinters if you tough them and if smooth, they will collect less dust. I was looking through the archives the other day and on the last page of the timber engineering section is a good post about timberframe finishes. It would seem that certain oil finishes will remian tacky and pick up dirt, while other finish mixes will completely dry and not attract dirt and dust. Worth a read.
If you start with rough sawn, you can sand after you've cut the joinery and before you erect the frame, though perhaps more work than ordering planed material. I have talked to someone that used a floor drum sander to sand timbers, a method I've been wanting to try for about a year now on reclaimed rough sawn timbers. You set them up on the ground and walk the floor sander along the sides. With your joinery already cut, you need only be concerned with getting the things smooth.
