Was it true that Sai Baba sometimes told people not to go on pilgrimages? What would happen instead?

Yes, Chapter 4 describes an instance where Sai Baba guided a devotee to find holiness in Shirdi rather than traveling far. When Das Ganu wanted to travel to Prayag for a holy bath on a special day, Baba told him it was unnecessary to go so far, stating, "This itself is our Prayag; keep firm faith in your mind." To reinforce this, a miracle occurred. When Das Ganu bowed at Baba's feet, water representing the sacred rivers Ganga and Yamuna began to drip from Baba's big toes. This experience demonstrated that the merit of a pilgrimage could be obtained right at the feet of the Guru through faith.