Yes, you do. Per IRS, Taxpayers who receive an IP PIN must use it on electronic and paper returns in order for the returns to be accepted for processing. For additional information, click IRS Statement on IP PIN | Internal Revenue Service
If you know you need an IP PIN to file your taxes and you lost your CP01A letter (or never received it), you can:
TurboTax is not able to issue IP PINs and you won't find them on your tax paperwork. You can only get IP PINs from the IRS.
Related Information:The IP PIN is sent to you by mail. Did you lose the letter from the IRS ?