Is it absolutely necessary? No. With this day and age of CNC Machining and tighter tolerances, you are PROBABLY
That said, in our shop, we do a Go/No Go headspace check for free - it takes about 2 minutes and then you know you are good to go.
Safety first is always the best practice in my mind.
Some have suggested using a dummy round from a previous batch of ammo you had successfully fired. Actually, someone suggested first using a live round, then later a dummy round. You can do that, it's not for me personally - but I suppose it would work in a pinch. I don't believe you have any old ammo that you successfully fired through the weapon, since it's a new build, so a headspace guage would be worth the limited investment if you like to tinker and perhaps build a few more yourself.
You can get the basic one from Brownells
for about $20 shipped to your door.
Or you can get the set, which is about $40 to $50 depending on where you shop. If you are going to build/tinker one or two rifles, and leave them alone, it's probably not worth the money. However, if you plan on doing some major kind of work, or building a gun for someone else, it might be worth it to you.
I would own one as part of my standard range kit, but we have them in the shop that I can use for free.