You don't
have to, but it does make it easier.
Actually, in my Haynes it doesn't say to remove the bumper, only the grille, but to be honest when i changed my headlights i took the bumper off to make it easier.
Can't remember if it's been covered yet or not, but to remove the bumper; remove the grille (let me know if u get stuck with this), then remove the 2 (or 3) screws securing the bumper to the slam panel,
Then there's another 2 screws, or bolts, accessible through the
lower bumper radiator grille aperture. (Near the fog lights).
Also remember to remove the screws securing the wheel arch liners to the bumper. After all the screws/ bolts have been removed, release the bumper from it's retaining lugs on the front wings.
It's a really easy job. Takes about 10/ 20 minutes tops.
Oh yea, and it's always worth getting a Haynes manual. You can pick them up from E Bay or Amazon quite cheap.