Ericus,
You should still balance the cartridge/arm with the appropriate amount of downforce (aka, tracking force) that the cartridge maker recommends...the penny is there to add weight to the end for various reasons (the cartridge requires it, or arm, etc).
Without re-balancing, you really are damaging your stylus and record in the process.
Part of the (oft-maddening) nuances of vinyl playback. Taping a penny to the headshell is usually indicative or situations that can be relieved in less destructive ways.
Regards, John