You don't NEED to weld it, but I would strongly recommend it. Otherwise you'll end up with 12, yes, 12, exhaust clamps in your system. While having that many joints is a good thing when you're getting everything fit and tucked up under the car, it's not going to work for the long term. That's just 12 different places for your exhaust to leak. And it will.
And then there's the really fun stuff! I dropped my entire exhaust system off of my Challenger when I had it clamped together like that. Dragged over a speed bump. A few blocks later getting on the freeway on ramp the whole system fell off the headpipes and started sliding on the pavement. I loosened up a couple of clamps to break it down the rest of the way (it only went to the rear axle at the time), threw it in the trunk and drove home with open headers. Started welding everything together after that. Only clamps I leave in the system are at the mufflers.
