If you have a strong blender like a Vitamix then no, you don't have to soak the cashews first. I don't usually soak the cashews for this recipe. But if you prefer the texture of soaked cashews or if you have a blender that is a weaker model then you can soak them for 15 minutes in hot water. Add the cashews to a bowl and pour over boiling water from the kettle and leave to soak for 15 minutes. Then drain them and carry on with the recipe as normal.