Depends where you're from. If you're British then no, although as mentioned it's a good idea to have some form of official photo ID. When I was there about 4 years back there wasn't anyone manning customs either end.
If you're from outside the UK it'd be an idea, although I think it's basically classed as an internal connection so they assume if you got into the UK then you're legit.
Oh and as a sidenote, if you're not driving - enjoy the bus ride into the town, it's an "experience". :)
Trev