Yes, it is very important that you do! Bleed refers to an extra border along the edges of the page.
Images should not be positioned directly on the edge, but rather slightly over the edge as shown here. That also goes for colour boxes and tabs!
By doing so, you avoid white gaps along the edges of the page. Three millimetres is enough. That is trimmed off the printed pages at a later stage.
Tip: Make sure text is positioned at least 5 mm away from the margins.