If he sleeps through a feeding, it is likely that he will make it up when he wakes. If you've already pumped, he might get frustrated because there is not as much milk as he wants. Over time your supply will increase as to match the pumping plus nursing needs (unless you are supplementing), but then it's very difficult to drop the pumping session because of engorgement. If you are really uncomfortable, then maybe pump just enough to relieve the pressure.
Even with the pumping, however, supplementing can potentially lower your supply because nursing typically removes more milk than the pump. I think that best way to boost your supply early on is to nurse as frequently as your baby wants. Even if you feel empty let your baby nurse if he is hungry. If he's fussy five minutes later, just nurse again! This usually ensures a good supply as long as there are no other medical conditions.