On the sill, yes, the sash itself, no.
You can use the interlocking kind, but the sash has to be grooved out, or the spring kind, faster to install but not as tight as the interlocking.
Casey

Here is a link that might be useful: Interlocking window weatherstripping

To save some cash, order in zinc...my house has it on all windows (original); in fixing some cords, I early on removed some, now have to replace it. :( Mine it turns out, was held in by tiny screws, with strips of roofing felt under it.

I nailed bronze weather stripping to the bottom of the lower sash rather than the sill. My sills have settled slightly & I was afraid nailing to the sill would trap water under the bronze & the nail holes would give an entry point for the moisture. It may be six of one & half dozen of another!

It definately cut down on the drafts although I'm sure it's not as good as the interlocking weatherstripping.