I have never been able to measure a spine difference by putting a finish on a shaft, but if you get a little carried away with sanding the shaft, that can drop spine by a couple of pounds pretty quick. For this reason, plus to protect the shaft, I would recommend finishing the shafts as you would your regular arrows.
I also suggest caution when bareshafting with wood shafts. Bareshafts tend to fly sideways and wood shafts can break or crack when hitting a target that way. If you bareshaft, carefully inspect each shaft after and before each shot. I much prefer to paper tune with wood.