A captured soul will be put in the smallest available soul gem that will fit it. So if you capture a lesser soul, and you only have a grant soul gem available it will be automatically put in the grand soul gem. If you have a empty grand and lesser soul gem a lesser soul will always be put in the lesser soul gem. So yes, if you only have a grand soul gem available be very careful not to cast soul trap on smaller souls or else you will waste your gem.