You should if you live somewhere that freezes.
I live in NE Florida and I still drain my IC by holding it upside down and even pushing a little air pressure through the tubing to push the remaining water out of the IC. I store my IC with the corny kegs in the garage--a corny keg helps maintain the IC's shape.
No sense in having a ruptured IC because the temps got below freezing.
Also, no sense in encouraging pitting or galvanic corrosion by having water in the IC when it isn't being used.