Parts guy said if one side marker bulb goes out to replace both. Should I do the same with the headlights?

 

He is trying to pad his volume. But seriously headlight bulbs get dim over time and by the time they are burned out or nearly burned out you will see that the glass is darkened and the output is nowhere what it used to be. Chances are that if one headlight bulb goes out the other one is soon to follow if they were replaced at the same time. I would replace in pairs and keep the old one that is still working as a spare should you fine yourself with a headlight out and in a rural area and have a night drive for a long distance.

I am not sure if I buy the side marker light story he is trying to pawn on you

 

Seems like he just wants to sell you parts
The headlights main beams I can understand - you might get uneven brightness with old vs new bulb.
But do you really care for side markers? Some people even paint them over, or get euro bumper strips without side markers.