Yes, you will need to set it up again. There are two essential reasons for any guitar -- bow, and intonation. (For those with tremolo bridges, other responses have already addressed that.)
Bow: The string gauge effectively determines the total tension on the guitar neck, when the string are tuned to pitch. (Note that this affects those who change tunings too.) The counterbalance to that string tension is the truss rod. Imho, every player should be prepared to adjust the truss rod in their own instrument(s). In addition to string changes, seasonal humidity changes can also affect the neck. Being familiar with this process will enable you to quickly make on-the-spot tweaks as necessary.
The truss rod is one of three components that allow you to set the action height; the other two are the nut (slot depth) and the bridge (saddle height). The truss rod adjusts the bow of the neck. While the action height is a matter of personal taste, it must accommodate the player's playing style (vigorous vs. gentle). (I will assume that the prerequisite task of levelling the frets has already been completed; it generally needs to be done only once in the lifetime of the frets.)
The actual truss rod adjuster varies by guitar. Some are beyond the nut, some are in the neck pocket, some are below the soundboard. Whatever tool your instrument requires, I recommend that you purchase one and keep it with the instrument.
Believe it or not, the desired neck is not straight (or dead flat). The desired shape will have an ever-so-slight concave bow. When you adjust the truss rod, make small changes -- no more than a quarter of a turn at one time. And don't force the adjuster it if the resistance increases; that may signal the end of the adjustment range, and going further might break something. After each small change, allow ample time for the wood to "move" and redistribute its stresses before measuring the resultant action height.
Intonation: Adjusting the intonation is also something that you can learn to do for yourself, however, it generally requires a very precise tuner -- such as a strobotuner -- or very gifted hearing. The actual adjustments vary by guitar, but the goal is to adjust the string length until the pitch of the string fretted at the twelfth fret matches the pitch of the (first) harmonic at the same location.
In summary, the first step in setting up your guitar is to choose the string gauge. Many consequences follow from that choice.