If you are going to overclock, then yes you will probably need a cooler depending on how much you are going to push it. Although if you are only overclocking to reach 'ultra' settings for gaming, it really isn't necessary. While the CPU is important, games rely much more on the GPU than anything else.
But if you are doing it just to do it, then that is a different story i guess.
Have you overclocked in the past?