Do you have to have a thermostat for an electrical baseboard heater?
You could just turn the breaker on when you are cold, and off when you are hot, I suppose. If that gets inconvenient, yes, you'd need a thermostat.

They do not normally "come with one" because one thermostat may control many heaters, or one thermostat and a bunch of relays may control even more heaters. 

Some units do come with one built into one end of the baseboard itself, but that is a special option. You may be able to return the unit you have and get one like that if it would be more convenient in your application.