Yes, it's helpful for first graders to do "connect the dots" activities to learn how to print letters and numbers.
It helps them to learn the motor actions for the letter/number formations. Their hands get into the habit of forming these symbols, which are really very abstract bits of information for first graders.
If there are arrows on the letter and number connect-the-dot activities, then the children learn how to form them in the most efficient manner.
Connecting the dots can help them develop correct orientation and directionality for these shapes, so that they don't make reversals and inversions, e.g. upside down or backwards letters and numbers.
Also, seeing the completed letters/numbers in dot form helps them to learn to remember the shapes.
Gradually, we want students to be able to form the letters and numbers without the dots, but each child learns this information at a different rate. If your child is a reluctant printer, perhaps he/she is having difficulty remembering this abstract information. The "dots" may be necessary right now, to give your child confidence, and to ensure accuracy.
Another very helpful tool for reluctant printers is to have a letter/number line at the child's workspace.
As your child traces the dot to dots make sure that he is tracing the correct way by following the arrows. If bad habits have already formed for letter formations, a child often ignores the arrows and traces using the old habits which then reinforces the wrong movements. If you choose to use this method, I would suggest highlighting the arrows and watching the child until you know they will follow through with the correct movements. You may also want to try tracing the letters in the sky using a whole arm movement with pointed index finger. Be sure to talk the child through the movements for the letter regardless of your approach. Multi sensory approaches are easier for learning!