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I didn't when I flashed from the 9/18 and the install went fine. Just wipe your cache and Dalvik cache and you should be OK
boot into recovery, in the main menu, click the home icon on your phone, there will be a something along the lines of "clear cache" (thats the obvious one). then scroll down to "advanced" and there will be an option to "clear Davlik".
Also, while clearing cache is always a great idea, theres been a few times that I forgot to do it and just flashed the new nightly for CM6, and ive never noticed much of any difference in how my phone ran. Long story short, do it if you remember, if you forget, its not the end of the world (or even the end of your phone, haha)
yea thats funny, i actually didnt notice that till yesterday. As long as you click to do it, chances are its clear.