Hello; Yes they do during the time that the lights are on. It is my understanding that, like all living things, they consume some oxygen during cellular respiration. I believe this means they will remove a bit of oxygen during the time the lights are off.
Depending on the type of lights and the intensity you will likely want to determine a suitable photoperiod. I have had decent results with lights on for 14 to 16 hours and off for 8 to 10 hours.
I like the look of lights in the 6500k range and they do well with plants. They are sometimes called daylight bulbs.
good luck