Technically, you don't HAVE to. Of the two fuel lines, the large one is the fuel supply line and the small one is a return. You should have one more line on the other frame rail coming from the tank that is your vent line.
If your vent line is okay, then you can cap off or plug the return line that is next to your supply line. The reason I don't is that it is supposed to help with vapor lock to keep fuel circulating through the pump. The cooler fuel can then push past the hot fuel in the line going to the carb to keep your line cooler and keep the fuel from changing into a vapor.
It's theory, but the three line pumps seem to do better than the two line units.