You don't NEED to rack to secondary when dry hopping. You definitely can if you want to but there really isn't a need. I just brewed a DFH 60 minute clone (Yooper's recipe). I let it sit in primary for 10 days and then I dry hopped right in primary for another 10 days.
If you are going to use a secondary, definitely make sure the fermentation is complete before racking.
Primary: Orange American Wheat
Kegged: Centennial Blonde, Dry Stout and Hard Lemonade