If you have a modern theme that can do widgets, you can just put the ad in a widget (if you want the ad in the sidebar). To do this, drag a "Text" widget to your sidebar (in Appearances > Widgets). Then put the ad code in the Text widget. There are a couple of advantages I found of this method.
1. You can move the ads to different parts of the sidebar using drag-and-drop. This is nice if you're experimenting with placement within the sidebar.
2. Your sidebar.php theme file is cleaner without the ad code in it.
AFAIK, if you want ads in any other part of the page than the sidebar, then you do need to modify the theme php files.
