If you have the loot to cover it today; get it! The tune will help rectify the air and fuel maps within ECU as well as turn that o2 issue off.
You don't have to tune it, but you'll hear a difference in EVERY car with exhaust upgrades once you hear what it does for your own... the tone changes very slightly and the sound of the exhaust sounds more in order that a system that's just got new pipes on it.
Saving a C-note is a pretty compelling reason to do this. Especially since it's already on the punch-list! Save a little money for some tuning; a little dust on the box ain't gonna kill you or the header: and it may motivate you to do side jobs to make the money that much faster!