Macros will be expanded during the pre-processing so that they do not exist in your program. They just take up some space in the source code.
Edit:
In response to Barmaraβs comment, I did some research.
MSVC 2012: in a debug build (when all optimizations are disabled, / Od) adding macro lines will not increase the size of your program.
GCC: , . . . ( . , @, @)