No you don’t. In fact, with many applications they work counter productive instead of adding value.
What do we mean by that? Teflon is very useful when you use sublimation. It protects the rubber mat of the lower platen and the heat platen from pigment contamination. Teflon also acts as a heat deflector, which for sublimation, is not a problem. For applications with a shorter pressing time it can frustrate the transfer process and you are far better of to use a piece of release paper.
So to summarize: Only use Teflon for sublimation, not for other transfer applications.