Using Too Many Preprocessor Directives

I am wrapping up at my college and will be going into game programming. So, I am trying to develop good habits now on personal projects instead of being told that I am a bad coder by my manager when I am in the workplace.

I had a poster replaying to one of my threads saying that the use of preprocessor directives in header files can lead to issues, or using them when you don't need them can be wasteful. Is this true?

Do I really need to take the time to remove the ones that I do not need on the files that I do not need them? Or can I leave them as is and move onto bigger problems?
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