If you are updating from one CM to a newer version, probably not - I say "probably" because if it's a major version change (e.g. KitKat to Lollipop) then it may be advisable, but just a regular stable or nightly update should not need it. If you are moving from a different ROM to CM then yes, you certainly should wipe.
I would always take a nandroid and a Titanium backup before installing a new ROM, so if you are updating the same ROM there's no harm in trying without a wipe, then if there is a problem go back into recovery and wipe.