Sometimes I do, and sometimes I don't. It depends on where I'm going to use it. It it's in fast water, yes. In still or sluggish water, probably. In a lake, no.

I am not an expert on nympthing, and I only tie a few different patterns, but I always catch fish with them. Usually fish, especially trout, seem to hit nympths near the bottom, when it is moving up. If in doubt, I'd weight the nympth. I don't think it will hurt anything.