You don't "have to" but it's usually easier.
To do it without removing the slide, put an empty magazine in the gun and lock the slide back. As long as you don't force the slide stop down, the slide will stay locked back.
You can also open the slide and wedge a small block of wood or plastic into the ejection port to hold it open.
Use a 1/8" inch punch to push the firing pin in, then with your hand over the rear of the slide to catch the firing pin and spring, slide the firing pin retaining plate down and off the slide.
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