Here's what the major league rulebook says:
(d) If the pitcher makes an illegal pitch with the bases unoccupied, it shall be called a ball unless the batter reaches first base on a hit, an error, a base on balls, a hit batter or otherwise.
On the "neighborhood play" that you refer to ... yes, you have to step on the base. Are some umpires more lenient in not strictly enforcing this at the higher levels of baseball? Yes. But learn to do it properly and step on the base ... that way it won't come back to burn you.