I have noticed so many people take a brand new skein of yarn, and then they create a ball of yarn. What is the purpose of doing so?
It's more important to rewind into a center-pull ball of yarn if you are buying some specialty yarns that are basically a loose oval of yarn twisted into a loose figure eight - this structure is called a "hank."
There's no need to rewind a typical commercial center-pull skein. The work of keeping the yarn from tangling has already been done for you.
Rewinding from a loose hank/oval of yarn is usually a two-person job: one person has both hands through the loose oval of yarn holding it open while another person rewinds the yarn into a ball.
If you do need to rewind, it's important not to stretch or pull on the yarn, the yarn should be soft and relaxed.
This Instructable is a good tutorial on rewinding from a hank, and has good pictures.
Bottom Line: no you do not need to rewind your yarn into a ball if you have purchased a regular commercial center-pull skein.
Enjoy your knitting!
I'm still new to crochet, but when I complained about the yarn strands coming apart while I worked, I was told I might be working against the direction of the twisted strands and should roll into a ball so I could work from the other end. So, I'm guessing different manufacturing machines have a different twist?