Yes, Connect My Sales will handle creating products in Infusionsoft.
When a new order is received, Connect My Sales first ensures all of the products on that order exist in Infusionsoft (using your store’s SKUs). If a product does not yet exist in Infusionsoft, Connect My Sales will automatically create it.
Because SKUs are used to determine whether the product exists in Infusionsoft, it is recommended that you have SKUs assigned to all of your store’s products.