I'm going to work in DC, but live in MD. My employer gave me a MW 507 form to fill out, but shouldn't I fill out Form D-4A too to make sure no DC taxes are withheld?

The District of Columbia has reciprocity with all of the forty-eight U. S. states.  Consequently, you should submit the District of Columbia Form D-4A to your employer.  This form establishes that you are not a resident of the District of Columbia and that no DC income tax will be withheld.