No, you don't have to. You can just sprinkle in the yeast as is.

If you do, brewers need to make sure rehydrated yeast is within 5°C (9°F) of your wort temp to avoid subjecting the yeast to temperature shock.

Once rehydrated, immediately adjust the temperature of your rehydrated yeast by slowly mixing in small volumes of wort, staggering the additions by leaving 2-3 minutes between each adjustment, ensuring not to adjust the temperature by more than 10 °C with each addition. Do not allow the rehydrated yeast to attemperate by natural heat loss.

There has been some discussion out there that rehydrating the yeast increases the viability of the yeast, but also increases the risk of infection.

So it would need to be decided by you as the brewer as to how you would like to proceed. 

If you would like to rehydrate anyway, please see full rehydration instructions in our information booklet which you can download using the link at the top of this article.