Yes and no. At the beginning of the anime, Megumin did not have a staff, and she does not always have it with her. So, it is not an essential part of the costume, in my opinion. It is the hardest prop to get and pretty difficult to make yourself. So, you shouldn’t feel bad if you can not get your hands on one.  That being said, a staff (and other big props) are what makes a costume genuinely impressive. It shows that you have really put a lot of effort into making the cosplay perfect. It might be a very cool project to do. If you fail and the staff doesn’t resemble the one in the anime or the light novel, it isn’t a problem as it is not essential, and you can leave it at home.