No, you don't. When registering the domain name, you're just telling the registrar what nameserver to use when a request for that domain name comes in, that's all. The nameserver is typically the nameserver of your web hosting provider. The only thing you need to do other than that is make sure your web hosting provider knows that you've added a domain and it is pointing to their DNS servers (typically taken care of when you set up hosting and they ask you what domain you want hosting for).
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