You should, yes. Depending on the tool you are using, it is more or less important. Perl, for example, will close the MySQL connection for you even if you don't at the end of the script. But maybe another tool won't, and you will have a dangling connection. So yea, close it.
A further comment on this - according the abovementioned link from my previous post, PHP will clean up non-persistent links itself, so you need not do an explicit mysql_close().
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