Be wary of your encumbrance, as it could really slow you down. If the carried weight surpasses a soldier's Strength, you will have less TUs available, and unlike TU penalties incurred by armor, it can even make it impossible to fire weapons. However a soldier can pick up any weight and suffer no ill-effects if the weight is dropped before the end of turn. There is no extra bonus for carrying less than your maximum allowed encumbrance.