Yes, you will want to do a wipe. (You don't HAVE to, but it is HIGHLY recommended that you do).
See the Guide in my signature for how-to on backing up apps and data. Once you're rooted, having to wipe really isn't a big deal.
Also, if you're not completely familiar with installing ROMs, check the stickies on the top of this subforum -- there is a great guide on how to install ROMs as well.