Welcome to JA my name is Mark.
The simple answer to your question is, no you don't.
You can knock it out with a hammer and install the new one. Here is some help for you.
Install replacement wheel stud into flange of hub and bearing assembly. Install washers on wheel stud, then install a wheel mounting (lug) nut on stud with flat side of lug nut against washers as shown (Installing Wheel Stud (Typical)).
Tighten the nut, pulling the wheel stud into the flange of the hub and bearing. When the head of the stud is fully seated against the rear of the hub flange, remove nut and washers from stud.
Install the brake
rotor back on the hub and bearing (Front Brake Mounting).
Install brake caliper and adapter back over brake rotor aligning adapter with mounting holes on steering knuckle (Front Brake Mounting).
Install the two adapter mounting bolts securing the adapter to the steering knuckle. Tighten the mounting bolts to 169 N·m (125 ft. lbs.) torque.
Install wheel and tire assembly on vehicle. Tighten the wheel mounting lug nuts in proper sequence until all nuts are torqued to half specification, then repeat the tightening sequence to the full specified torque of 135 N·m (100 ft. lbs.).
Lower vehicle to the ground.