You certainly do not have to. My recipe does not call for it. However, some say that it makes your asparagus more tender. I prefer my asparagus crunchier with more of a crispy texture. But if you like yours more tender without so much bite, you can boil them first. Another choice is to blanch them first. Just boil for three minutes, shock it in an ice bath, pat it dry, season, and grill. However, it is not necessary and may end up overcooking your asparagus.