When i did mine i did not fiil all of the holes. I left some of the larger one's to run lines and wires through. However after the car is completly mocked up, wired and plumbed i may fill what holes were not used. I also left holes in bottum of frame rail so it could drain. Before boxing i applied several coats of cold galvanizing paint then topped it with primer. I figured that would help protect it. Not extremely worried about water since car will not be driven in the rain and with the water hardness I have, not washed with water very often.
I usually just box the rails and leave the smaller holes to let water drain. If your building a "show car" then you might fill all the holes. It's just a personal preference. If you just want to strengthen the frame you just need to box the main rails.
I'm mainly going for the stiffness. However, looks are always important. This will be like most here on this board, a driver that looks really good. Thanks, for the replies. I will be studying what holes can be left in and which ones should be filled.