Do I need to replace the transformer when switching from halogen to LED
The answer is, "maybe". 

The issue is that MR16 halogens can come in one of 3 voltages - 12, 24, and 120 volts. You need to check to determine what your system uses. Then you must check to make sure your LED bulbs use the same voltage. If not, you have a choice: change your choice of LED bulb, or change the voltage. The latter may involve changing transformer, or possibly eliminating it altogether. It all depends on what you've got.