If you dont, the juice will be bitterer and more opaque due to the white pith. IMHO a thin layer may be acceptable, but those oranges that have a thick layer should have it peeled or cut off
If you're juicing them on an electric juicer similar to a lemon squeezer, just cut them in half and use them that way.
If you're jucing them in a centrifugal juicer or food processor, they will need peeling!