Yes, you do.
Depending on the car you may also need a facia adapter to fit an aftermarket stereo head unit.
Ford were b*ggers for this with their 'double din' sized head units.
Anyway, I digress.
For your steering controls you need a compatible cable that will connect your new stereo to the wiring loom for the steering controls.
These are usually manufacurer specific and are made to fit their own stereos. Bear in mind that not all stereos allow this and you will struggle to find one that does in the lower end of the price range. Prices for the necessary cables vary but the place you buy the stereo from will be able to help you.
Regarding the facia adapter, if needed. You will know if you need one if, when you take out the old one, you are left with a cavernous hole in your dashboard that won't fit a normal stereo in. The adapter is a replacement piece of dashboard with a rectangular hole that will accomodate a standard sized stereo. Again, these can be sourced from the same place as the rest of your equipment.
Hope this helps, apologies for the length of answer.