No, you don't have to use a sample-and-hold. It depends on the specific timing and nature of the signal, and what information you are interested in. If you are interested in the integral of a signal (say, total charge), sample and hold is often a good thing to do, as you can integrate charge on a capacitor and leave it there until you know whether you want to digitize it. But if you want to digitize a rapidly varying signal, simple sample and hold might not be the best plan.