I paint almost exclusively on stretched canvas now, which needs no frame..
If you're talking paper, yes leave (or paint past) a margin..as a guide, for my Coloured pencil work I would leave at least 1 & 1/2" to 2" around or more..
the alternative is to buy canvas on board (so it's rigid and is it's own backing, and allow for the outside edge of about 1/4" to be covered up..then a frame or mount won't cover anything important to your painting.
Onceyou're more confident in the medium and yourself, you should try some stretched canvas( they are a bit like a square kite!
..wooden skeleton frame with canvas wrapped around..)