No, thisbis not necessary, I mean you can if you want to, but there is no need to do so whatsoever.
Whether your sd card is used or not, there is no reason why you should format it, unless full.
If you insert a full sd Card in the phone it defeats the purpose of having a sd Card on your phone, só make sure you add an empty one. Having some data is ok as well, now if it is full make sure you clean it up :)