I generally do. It's a pain because it slows down the entire process waiting for the primer to dry But in my mind, I like to have something between the bare metal and the putty.
-Wire brush the area with drill, get as muh of the rust color off as you can
-Prime
-Putty
-Prime
-Color
-Clear coat
Of course, sand in between each step (except the first 2) and you may need to do a couple coats of putty to get it right.
If you're dealing with a very minor spot, so the metal isn't all dimpled yet, I've had success skipping the putty step. Just get a few coats of primer on there, and then keep building coats of color until you're level with the surrounding paint - then wetsand to remove any high spots and blend.