They are supposed to, yes. I have heard every one to two years they need to go. I took Piglet (my eldest) for his first check up when he was about one and a half and would tend toward bringing them every year from now on.
Ask anything you have questions about, anything you're wondering about, I just asked mine various questions related to Piglet. Like he had spurs on his hands, should I leave them or try clipping them, etc (they actually fell off on their own). However, there are some things that even a good vet might tell you that you shouldn't listen to. I have a great vet, but I checked with the people at my local rescue, because my vet told me Piglet is fat and needs to go on a diet. I haven't really figured out yet if he's fat or not (my friend at the rescue said her vet told her that one of her pigs is fat, too, and to not worry about it, because Piglet might not really be fat) but I am planning on bringing Piglet soon to meet some spayed females and pick out a new friend for him to live with, so I am going to ask again when they can see Piglet in person. If your vet tells you to put your pig on a diet, don't. If you can reasonably cut back on what you're feeding a little, that's what I did, because I think Piglet really might be fat. But don't limit their hay, etc., and focus on exercise, not dieting. Just an example. Going to a vet for a check-up is definitely a good idea, and it gave me a lot of peace of mind to have him checked out by a good vet and have her tell me that he is in good health, but if you have questions about any of the vet's advice, check with other piggie people! Hope that helps.
Also, it is good because that way you'll establish a relationship with a vet you like and who knows your guinea pig. It's much better to have that relationship if you ever have an emergency. You know exactly who to go to right away, and they have already met your pig.