Yes, you would need to have some form of air exchange..although you could prick a number of tiny holes around the bag it would be better to make your own filter patches to put on your bags instead as it will reduce the likelihood of contamination through the holes.
You can do this by sourcing some Tyvek material and then cutting it into small squares and sticking it over holes you cut in the top half of your grow bags, similar to how these bags sold on ebay in the US have been made:
http://www.ebay.com/itm/Brown-Rice-Flour-Vermiculite-Mushroom-Substrate-Bag-with-Tyvek-Filter-12-bags-/271152102626
The Tyvek is a breathable membrane which will also keep out contamination and is normally sourced fairly easily as it is used in lots of applications..Tyvek overalls, Tyvek Envelopes, or Tyvek sheets for roofing