No, you don't have to! Many people do cut them back so that they take up less room indoors over the winter. But if you and your plant are happy, don't feel you have to prune it. And when you do want to prune, you can do it any time that suits you.

Pruning does make the plant bushier, so if it's getting a little lanky looking, you may consider it. But you'll probably be cutting off flowerbuds which you may not want to do.