It depends...
It's not built-in, so I'm using a third-party freeware. TickHack does nothing more than a beep on each pen-up in the graffiti area. I'm using it since years with the system sound set to "low" (or "off" if others start looking annoyed ;-)).
TickHack sits at
http://www.quartus.net/products/tickhack/.
BUT... if you sport a PalmOS 5 (or higher) device this Hack is likely not to work anymore. I guess I'll run into that problem with my next PalmOS device - someday...
HTH,
- Juergen-