You have to if you want people to understand you. You can't really learn a second language unless you are completely surrounded by it and can make associations in the real world, as children do. They pick up grammar naturally and practice with trial and error.
As I just said, children learn language without studying because they are immersed in it. They copy what they hear others around them saying. Their brains are still not completely developed so they can be influenced more easily. Still, even children don't have perfect grammar, young children still try to figure out what is right. For example, an adult would say, "John is better at soccer than Jim is," but a child might say, "John is more better at soccer than Jim is." This is because children learn to put "more," in front of adjectives in comparative sentences. The child is still learning the language so he or she doesn't yet realized that you are not supposed to use "more," with the word, "better."

We learn our first language by hearing it and making associations to the objects/ideas that words identify. With a second language, we normally cannot do that. I could listen to French and Japanese being spoken all day long on a CD or I could read it in a book but, without the ability to actually be in a situation with the target language, I wouldn't learn much at all.