No, but you might want to. The town surrounding the reserve is not gated so you are free to explore on your own. There are also a few spots where you can snorkel without a guide, as long as you are following guidelines and wearing a life jacket (yes, it is required if you are entering the water).  Since there are a lot of rules when interacting with wildlife, not to mention lots of remote “secret spots”, exploring Cabo Pulmo Marine Reserve with a tour company is highly recommended. You’ll likely get to see and do a lot more, and you’re supporting the sustainable tourism industry. It’s a win-win.