Yes. Whether you are using an iron or another type of press, you should always have a protective sheet in place to cover your design.
When you are using a simple domestic iron, you can use something as straightforward as a cloth, towel or even baking paper.
If you are using a heat press or something more advanced, you should consider using a protective Teflon sheet or something more rigid.
A tea towel or cloth, however, may generally provide you with the protection you need.