Well, it will depend on how expensive those classes are. If their constructors decide to download the whole of wikipedia, it will be expensive... but generally speaking, it shouldn't be a problem.
Create instances of the classes you need, and no others - you should be fine. Creating objects is generally pretty cheap in .NET. I would suggest that for the sake of clarity, you only create an object when you need to though, rather than creating everything and then using all the objects later.
You should also consider whether you really want these to be instance variables or not - are they all logically part of the state of your form? Would it make more sense for some of them to be local variables? A class which has a vast amount of state probably wants refactoring. This is more for the sake of getting clean code than performance though.