No problem using all 8 pins, But not required unless you plan on pushing your E8500 above 125 to 130 Watts. I have p965-DQ6 with E6400 @ 3.2 and had 4 Pin then switched to 8Pin (changed PSU) - No difference.
Would cut the IR loss in half since you would decrease the Contact resistance at the 4/8 pin connector, Wire resistance (8 wires vs 4), and Contact resistance at PSU
Added: royalcrown - What you said about higher current is correct. Just to clarify; The 8 pin predates the "newer Quads". The 8 pins was used/required for older Pentium D extremes, and overclocked pentium D's. Basicly, Required/recommended for >130 Watt. (Reference Gigabyte manual, and others that have resonded to this question.