The answer is yes at the finite places, but no at the infinite place.
Because each finite-dimensional complex representation of a totally disconnected group factors through a finite quotient, a vector is $K_\textrm{f}$-finite iff its stabilizer in $G(\mathbb{A}_\textrm{f})$ is open in that group, and this condition is obviously invariant under right-translation by $G(\mathbb{A}_\textrm{f})$.
On the other hand, at infinite places this is false: translating a $K_\infty$-finite vector by an element of $G(F_\infty)$ will generically give a non-$K_\infty$-finite vector. For example consider the action of $\mathrm{SL}_2(\mathbb{R})$ on $\left\{ f\colon\mathbb{R}^2\setminus{0}\to \mathbb{C} \vert f(rx) = r^{\frac12+it}f(x) \right\}$. A vector is $\mathrm{SO}(2)$-finite iff its restriction to the circle is a trigonometric polynomial. But it is easy to check that for essentially any $g\in\mathrm{SL}_2(\mathbb{R})\setminus\mathrm{SO}(2)$, if $f(x)$ is a non-constant trigonometric polynomial then $f(xg)$ isn't.
This is one of the motivation for passing to $(\mathfrak{g},K_\infty)$-modules: since $\mathfrak{g}$ is a finite-dimensional representation of $K_\infty$, its action on smooth vectors preserves $K$-finiteness.