yes, what motherboard do you have? The 4 OR 8 pin going into the motherboard provides auxillary power to the cpu that otherwise overloads the main connector which is 24 pins.
use both. the 8 pin gives the cpu some extra power. it isn't 100% needed unless you have an extremely power-hungry cpu, but you won't do any harm to the computer by connecting it.
If you only have a 4pin auxilary for the cpu it will still work, just like Nik_I said, the CPU may be power hungry and not perform up to par if it doesnt get enough power. But as for your question, Yes by all means, connect them both!