No you don't have to but if you do heat them up until softened a bit they are much easier to process and you will get much more of the juice out of them.

As an alternative you can just wash and toss them into bags in the freezer overnight then thaw the next day and juice them however you wish.

Either method - heating or freezing - softens them and breaks down the cell walls so you get more juice from them and less waste.

The heating has the additional benefit of killing bacteria.

Dave