You typically load different samples for each velocity range. The sound of a drum hit softly sounds different than a drum hit hard. To capture that accurately, you need different samples. So yes, it takes a bit more memory, but if you using on-shot drum samples that are only milliseconds long, that's not much more memory at all.
There is also another way to simulate the change in timbre between a soft hit and a hard hit and that's using velocity to modulate the filter. Softly hit drums have fewer high harmonics that drums hit hard. Modulating a filter with velocity allows you to simulate that change in harmonics which affects timbre. The higher the velocity, the more the filter is opened, the more high harmonics are allowed through, thus the sound is brighter giving an indicator that it was hit harder.