You don't have too, but I always have --- and I also do water changes during the process too.
The reason being, I paid good money for quality live rock, and wanted to do everything I could to preserve all the life I paid for.
And if there is a concern about "wasting" salt water, I would just use the water from water changes from my other tank(s) -- that was was cleaner then the water that the rocks were curing in.