No! It is actually not necessary to have the whole water bath set up to make these mini pumpkin cheesecakes. The purpose of the water bath is to prevent the cheesecake from developing cracks as it bakes, but since these are mini cheesecakes, the possibility of them having cracks is pretty low. If you really want to though, you can. Just remember to cover each mini cheesecake with aluminum foil to prevent any condensation.