No, it isn’t necessary… However…

Direct skin contact (ideal):
If you lie on the sheet with bare skin (e.g. legs, arms, feet), the grounding effect is fully transmitted.
This is the best and safest option.

Place a thin, natural cloth over it (possible to a limited extent):
A thin, untreated cotton or linen sheet can be placed over it. (No blends of cotton and linen!)
– The thinner and more natural the material, the better the contact.
– Strong dyes, polyester or fabric softener residues interrupt conductivity.

Thick or synthetic sheets / fitted sheets:
These provide electrical insulation – the earthing effect is lost as a result.
Example: A dark microfibre fitted sheet → no contact.