Not exactly. Building labs gives you scientists and labs cost money. As for the weapons, I did research and build laser rifles and pistols as a stopgap, but for my heavy and snipers I'm gone straight for plasma to save time and resources. Basically I'm going for a very aggressive strategy to get as much done as soon as possible. I already have the psi labs and foundry up, both enough spare sats to deal with any serious panic and am setting my sights on plasma cannons and the alien style interceptors as I want those all in place before I start using the hyperwave wotsit.
The only problem so far is that I may have missed the optimum time to capture live sectoids and floaters. Two separate missions I attempted it and both times I failed. On one I gave the arc thrower to a rookie who promptly got himself killed (shame you can't just have another soldier pick it up) and the other time I wounded the floater, but it ran off into the woods before I could get close, so I had to kill it. Also, I'm running very low on things like weapon fragments since I really haven't done that many missions so far.