That would be true if you didn't adjust the bag pressure to suit the situation, which is one of the main reasons to use air bags -- adjustability. I've had them on an RV and friends have had them on trucks and station wagons and have not seen any increase in harshness when unloaded and the bags are at the minimum required pressure (3-5psi, to prevent pinching).

As for putting in springs that are much stiffer, note that you'll get an increased tendency to oversteer due to the increase in rear roll stiffness (as well as due to being heavier in the tail).