You don't have to wash new sheets before you use them but washing the new sheets before first use will remove any excess dye that may be on them plus make them feel better since new sheets can be a bit scratchy feeling.
Although I don't always wash sheets and other than some sheets feeling scratchy I never had a problem so if you don't want to wash the new sheets before first use you don't really have too.
Also I've heard that washing the new sheets makes them a bit softer by removing excess starch that is applied to the sheets during packaging.