Based on the Dip question I would highly suggest you do some more research as to which type of anemone you are getting and what it's care requirements are. But if you do want additional advice please also provide details about the tank set-up.
But to answer your question, no you do not have to dip an anemone as it more than likely would be shipped by itself. I would not however recommend adding any of the water that it was shipped in to your tank, but instead recommend a fair acclimation from your tank water to the shipped via say a 5 gallon buck and slow drip line.. The longer the time the better IMO to help the nem to expel its waste from shipment and to adjust to your tank.