Yup. You'll know if you forget, because the chain will slip off your smallest cog within one pedal cycle. I take the cassette off about every 2 weeks to clean it thoroughly, and once, just once, I had a brain fart and forgot it. Luckily, I ran the bike through all the gears while it was still on the stand.
Otherwise, Shimano hubs are pretty idiot proof. The cogs only fit on one way---the right way. The fact that I can do it myself tells you how idiot proof they are.