Usually yes. If you don't have them, you're basically going to continue transcribing until you hit the next termination signal, which could be a long time. That will in many cases destabilize the mRNA and cause decreased protein expression.
The main reason you'd want to avoid them is if you work with a retrovirus or lentivirus, whose RNA genome would be interrupted by the polyA element. With these viruses, you should rely on the terminators embedded in their ITRs.
So if I insert a gene with a stop codon at the end of the sequence, upstream of a His-tag and the SV40 poly-a sequence, will the poly-a still be transcribed or should I remove the stop codon?