Exercise Physiologist, Personal Trainer
Yes - but not significantly. I recall a reasearch study that looked into this, it had people (a) running with handweights; (b) ankle weights; © both. The difference was only significant in ©. The biggest take home message was that if you want to burn more calories it's easier to simply run (1) a touch further; (2) a bit faster or (3) up a hill. Adding weights changes your running mechanics (not so good for muscle aches and injury potential) and makes people look pretty dorky, to be honest!
If you're stuck plodding with friends, then wear a backpack if you must to add weight - or better still, just do an extra 5mins or similar.
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