The simplest answer is yes, most of the time, you need to coat the grill rack with oil to prevent food from sticking. When your grill rack is "well-seasoned" that may not be necessary for foods with some fat, but will likely still be the case when grilling produce and lean meats and fish.
There are several methods for coating the grill rack, but I recommend you do all of them before lighting the grill. (It is a safety precaution. Oil can easily catch fire over a grill, and that fire can quickly travel to the griller's hand).
To oil the grill:
* Coat the cold grill rack with cooking spray. Never use the spray on a heated grill: the can is flammable.
* Brush the grill rack with oil. Use oil with a high smoke point, such as safflower, canola, corn, soy, sunflower, and peanut oils.
* Wipe the rack with an oiled towel. (see best oil choices listed above)