No, you don't. Generally it's for the main part of the stage. When you're using your main image, there's 3 usable methods:
As I said before, the RGB method has some flaws mostly the white flash when characters use alpha ctrls.
When i first started I used imagesplitter, I did not like it much at all. It has potential to shoot out many layers uncropped. It can cause framerate to drop a huge amount and the quality never turned out so good for me.
Jigsawing is usually the best way in my eyes. It's pretty darn certain to avoid color loss, the only downfall is it can be quite tedious. There's a tutorial on this in the Tips, Tricks and Tutorials section.
But remember, like i said above, you don't have to use this method on every single sprite.