Not for the rom but you do need it if you flash a theme.
Keep in mind whatever theme you choose has to be made for the rom you are using. So if you decide you want to run the Liberty rom. Your theme has to be made for Liberty. If you want to try out Apex. Once again, your theme has to be made for Apex.
Also, roms are made for their respective OS. Meaning you have roms that run on only Froyo ( stock 2.3.340) and you have roms that run on Gingerbread (4.5.596). They have a few different versions of Gingerbread out (.571, .588, .591, .595, and now the official release .596) Keep in mind though the last 3 numbers of the theme, rom, or mod ( we will get into that later) you want to run has to match the version of Gingerbred you are running.
So lets put it together for you. You are running stock froyo (2.3.340) correct? If this is the case you would download a rom made for Froyo such as Apex. You would then flash Apex to your phone. Done. you are running Apex on your Froyo.
Now you want to flash a theme to further customize your phone. At this point you are running Stock Froyo with Apex flashed over it. Now you would download a theme that is designed to work on Apex.
Lets say your favorite color is black. You would download (one of a few) Bouchigo's BWC theme for Apex and flash that to your phone along with Bouchigo's deodexer file. Now sometimes you don't need to flash this deodexer file. If you have issues like FC's ( force closes) Then you would flash the deodexer.
So when all is said and done you will be running Stock Froyo with Apex and the BWC theme. When you look for these theme's and roms ( even the deodexer file) you want the files that are made for what you are running.
Now should you decide you want to update to Gingerbread. Same rules apply. This time you would redownload all your roms and themes made to run on Gingerbread. Of course after you flash your Gingerbread.
I hope I made this as easy as possible for you to understand. If you have any other question just ask.