Why take a skein of yarn and make it into a ball?
It's more important to rewind into a center-pull ball of yarn if you are buying some specialty yarns that are basically a loose oval of yarn twisted into a loose figure eight - this structure is called a "hank."



There's no need to rewind a typical commercial center-pull skein.  The work of keeping the yarn from tangling has already been done for you.

Rewinding from a loose hank/oval of yarn is usually a two-person job: one person has both hands through the loose oval of yarn holding it open while another person rewinds the yarn into a ball. 

If you do need to rewind, it's important not to stretch or pull on the yarn, the yarn should be soft and relaxed.

This Instructable is a good tutorial on rewinding from a hank, and has good pictures.

Bottom Line: no you do not need to rewind your yarn into a ball if you have purchased a regular commercial center-pull skein.

Enjoy your knitting!