No, you don't have to. You can always switch them in software to OUTPUT (with TRIS statement) which will do the same thing - prevent them from floating and acquiring a static charge which could damage the PIC, or tripping Port/Pin change interrupts etc. This is more useful, because if future modifications are going to be performed, you don't need to start cutting tracks if you need an extra pin for something. A big mistake people do is they design a board using an Input Only pin for an output circuit and then go make PCB's with this error. It's easier to correct a mistake like this if you haven't nailed all your spare pins to a Supply rail.

Some PICs have Input Only pins (as mentioned above). If they are going to be unused, then you can tie those to either Vcc or Vss.