A:Answer You don't HAVE to, but a wiring harness makes the installation easier.
You could splice the wiring directly to your cars wiring, but that would require cutting off the existing factory harness.
I'd recommend purchasing the appropriate wiring harness, which will let you splice the stereo wiring to the new harness, and simply plug that into the factory harness in the dash.
That also makes it easier if you replace the stereo again in the future, as you'd just repeat the process with the new stereo without any damage or changes to the factory wiring.