If you are going from a steel wheel to aluminum, yes, you do. Also, look at the surface of the new wheel and old wheel where the lug nuts hold the wheel, it will either be flat or concave (dipping in). Look at your lug nuts, are they shaped like an acorn at the end? If so, those are to be used with a concave lug wheel. If it is flat, the lug seat of the wheel will need to be flat as well.
The flat mag lug nuts hold the wheel a little differently than the acorn type lug nuts.
The shank of the lug nut will pass thru the wheel to center the wheel. The shank should not bottom on the rotor. The wheel will be clamped by the large flat washer on the flat mag lug nut.
There are several methods to determine if the lug nut is correct for the wheel.
1. Install one wheel on the truck. Tighten up the lug nuts. Check for any movement of the wheel in the axial direction.
2. Measure the length of the shank from the end to the washer. Compare that measurement to the measured thickness of the wheel at the lug bolt circle. The shank should be a little shorter than the thickness of the wheel.
3. Place one of the mag lug nuts on the wheel in the lug stud hole. Check how the shank fits the wheel. It should fit close but not protrude through.
You are checking 2 dimensions. The length of the shank compared to the wheel thickness and the fit of the shank to the lug hole.
Be aware. This isn't an area to be short sighted. A wheel taking an excursion away from the vehicle will make handling very difficult likely leading to a catastrophe.