it depends on the ongoing procedure. If you want to perform "classical" histological stains (e. g. Nissl, silver staining) heating as pretreatment is not necessary. If you want to perform immunohistology on paraffin embedded tissue in most cases you have to perform a pretreatment (heating, encymatic or chemical pretretment) before applying the antibody to the tissue. For example, in case of immunohistological visualization of beta-amyloid plaques in tissue of Alzheimer patients we first remove the paraffin and rehydrate the tissue and then continue with 100% formic acid for three minutes at room temperature and two washing steps (2x 5 min) in buffer (TBS) before blocking the unspecific background using 10% fetal calf serum in TBS-buffer.
No, you do not need to heat your sections. You will find a protocol for staining plaques in paraffin sections using thioflavin S under the link which was provided by Wolfgang Muss in his answer.