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've always wound my yarn into a "cake" using a yarn winder. This gives me the opportunity to inspect the yarn as it winds and also produces a compact, center-pull cake. I find the center-pull cakes handy when it comes to portability, organizing and cleanliness. I place each one into a Zip-Lock baggie (from the dollar store) and zip it almost shut leaving enough room to pull the yarn out. If I need to move to a different location all I need to do is grab my project and the baggie(s). If I'm using more than one strand of yarn they're less likely to get tangled and even if they do they're easier to untangle. Unlike balls, the baggies don't roll around and get into trouble and the yarn doesn't pick up lint or stray people or pet hairs.
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?