It is not necessary, since comercial FBS is usually sterile - You can see this information in the package. However, some of them are not heat inactivated and you should perform inactivation prior to its use in cell culture (57ºC for 30 min in water bath).
At any rate viscosity of the serum wont allow you to filter it using normal 0.2 um filters. If FBS is being shared in the lab and is not stored in single use aliquots, I would add it into the medium at 10% and filter sterlize it together with the complete medium.
You should only perform heat inactivation if it is necessary. Many labs do it as a routine, but remember that the purpose of adding FBS is to include nutrients in the culture that are not normally their. Heat inactivation can destroy a lot of these.
An example where Heat inactivation would be needed is, for example, when working with primary cells such as macrophages, where complement components in the FBS can non specifically alter the bio activity of these cells.
Gibco provides good quality sterile serum and there is no need to filter sterilize it again before you add it to the cell culture medium. In case you reconstitute your own media from powders, it is a good practice to filter sterilize the medium first and then add the serum.