Do you need to pre-heat a gas oven?
Yes, preheating warns up the entire interior of the oven which is important for keeping the air hot such as when you open the door. It helps the oven bounce back to full heat much sooner. If you don't preheat, it will take several minutes before the oven reaches proper cooking temps, and interfere with even heating.

If you want to see the difference most dramatically, bake some chocolate chips. First without any preheating and then when those are supposed the be done, do another batch and bake them for the same amount of time.

If you are baking something for an hour or more, it may not make much difference, but shorter baking times can be dramatically affected.