You can, but you don't have to. If you're using the seasoning without baking it (e.g. over eggs, avocado toast, etc.) toasting it in a dry pan for a few minutes until fragrant can help bring out the flavors and add some complexity. If you're using everything bagel topping on something that will be baked (e.g. on bagels, pretzels, bread, etc) the oven will toast it anyway. No need to toast it before use!