Yes, you need a data plan on your phone, otherwise where would your Internet connection be coming from? If your phone is rooted you just do not have to pay for a "tethering" plan to tether.
"Is life so dear, or peace so sweet, as to be purchased at the price of chains and slavery? Forbid it, Almighty God! I know not what course others may take; but as for me, give me liberty or give me death!"
-Patrick Henry, March 23, 1775