It is not mandatory, but based on my experience I believe it can really help you in the long term, especially if we are talking about 1500-2000 pieces puzzles.
Basically I like separating all the pieces in groups (different containers), usually sorting them by colours based on the macro areas I see on the original picture.
This is done before starting the puzzle, when I open the box for the first time and start looking for the pieces at the edge.
It's not easy, it's boring and it may take a long time, but I find it useful. This way I organize my work better and later on I avoid looking again for the same pieces among hundreds or thousands. I can work one container per time, so I find it less space consuming than other methods used by other puzzle lovers.
I think it's useful to show you this picture as well. It's possible that later on as you progress with the puzzle you will need to sort pieces again, but on a smaller scale this time. Usually at this stage you will have many pieces of the same colour (sky, water, grass) so you should sort them by shape.
It really helps me go further.
I usually create these four groups and in my mind they are named:
1. Flowers (3 or 4 tabs)
2. Arrows (2 adjacent tabs and 2 adjacent blanks)
3. Candies (2 tabs on opposite sides)
4. Cheese (3 or 4 blanks)