It's not necessary, but it will contribute to the aroma of your beer
From Lee Janson's "Brew Chem": "Dry hopping actually extracts less oxygenated products than flavoring or aromatic boils, leading to increased intensity and stability of the humulene aromatics. Therefore, the flavors and aromas of these hydrocarbons are probably present only when dry hopping is used".
Also, don't add it to the primary. There's a lot of activity going on in there and you don't want to mess around with those delicate humulene aromatics. But it in the secondary for a few days to a week.
Make sure you sterilize your stuff, too! I got a wild yeast infection in my last IPA from foolishly not sterilizing my whole hops, and my beer is disgusting. Next time I'm steaming them, and using pellets...let me tell you, getting an ounce of hops leaves out of the fermenter is NOT easy.