No you don't have to dry burn. the alternative is to throw the coil in the bin and either build a new one or replace it with a stock one.
When you use an e-cig the coil heats up hot enough to rapidly boil the e-liquid that's stored in the wick and turn it into vapour, the wick delivers more liquid to the coil so the process is continuous.
The black gunk is caused by the coil being too hot for the liquid and instead of turning into vapour the liquid burns and sticks onto the coil and wick.
This gunk acts as an insulating layer and as it builds up the outside surface of the coil gets cooler and cooler. The gunk is basically a layer of carbon and carbon is a good insulator. The coil itself is still getting as hot as ever it was, it's just shielded by all this gunk so the bit that touches the liquid, the outside surface, is getting cooler.
Most people turn up the power when they notice the vape isn't as good a it used to be. While this fixes that, what is going on is you're making the inside of the coil even hotter. The gunk can't move anywhere as it's stuck to the coil and it gets burnt even more.
Eventually there is so much gunk on the coil that it can't transfer enough heat to vapourise enough of the liquid that the wick is providing. The whole thing floods (especially bad on a bottom coil device) and the extra liquid that the coil is swimming in dissolves off some of the burnt gunk, which gets into the liquid and you get a burnt taste. As well as that if you turn up the power then that extra heat has to go somewhere and it tends to go inside rather than outside. The base of the tank and the top of the battery will get a little warmer than normal and this can lead to rubbery grommets getting hotter than they should and maybe even burning.
It's a double whammy.
Dry burning gets rid of the gunk, by burning it off completely and ideally you should dry burn every other tank full to keep the coil in good condition. Sometimes if the gunk gets too burnt on then no amount of dry burning will help and you just need to replace it. the process also takes longer the more gunk there is, so it's a good plan to do it more frequently. Some liquids are more prone to gunking up than others, especially natural extract tobacco types of liquids.
To Dry Burn:
Take your tank apart so you just have the base of the tank with the coil attached and can see the coil itself. Rinse off excess e-liquid.
Hold the fire button and heat up the coil till it glows orange. Release the button and blow over the coil.
The idea here is to burn the gunk to ash and then blow it off the coil. The coil and the silica wick can get to over 1000C before they burn. You're only burning the gunk doing this.
Keep pulsing the coil and blowing off the residue till the wick is white(ish) and the coil is shiny. you can also you a soft bristled brush to help remove the ash.
You cannot dry burn aspire heads, it ruins them. You also cannot dry burn cotton wicks (they'll catch fire) though you can and should remove the cotton wick and dry burn clean the naked coil when you rewick them.
Dry burning silica wicks though will prolong the life of the head and give you a much better, less prone to flooding, less burnt tasting vape.