Absolutelty yes, you do need to bed them in. The finishing process for a set of pads is to 'cook' them, which can only be done when they are fitted to the car. This hardens the pad surface to give optimum braking power.
Different pad manufacturers recomend different bedding in procedures, but all involve increasing the temperature of the pad gradualy until it reaches a medium to hot temperature, then letting it cool completely to harden.
If you dont do this the pad remains soft, and wears out rather quickly, then the first time you give it some abuse it heats up too quickly & goes off. When it then cools it leaves a glazed surface on the pad which offers very poor friction with the disc. The pad is now nackered.
The procedure I use is to drive the car slowly, braking regularly & lightly for around 20 - 30 seconds, then speed up a bit and increase the pressure, braking then release, speed up again, brake then release, then increase the pressure again etc... Do this for around 3 minutes, gradually increasing braking force to around 70% of full braking, then come to a complete stop and let the brakes cool completely down. Your pads will now work very well!
[I used to work for a rally team that used to pay me to bed in all the sets of brake pads we were taking to a rally in the days leading up to the event, so the driver didnt have to worry about doing it on the day!!]