Hi Mark, no, a wounded figure receive the "Wound Shock" marker only. That prevent the wounded Character to take any action its next turn and also counts as a Take Cover marker but it is not one. Once it is removed (at the beginning of the owner following turn) the Character is again able to take action as normal, including Take Cover, but it does not already have a free one. Note that even if he had a Take Cover marker when he was wounded he will lose that, together with any other OF, SF etc. he may had, as an effect of being wounded and getting the "Wound Shock" marker. I'm a bit tired now so I hope this makes some sense... Cheers!