You don't need to, no.
I recently received the SP2 CD from microsoft myself last week.
If you take another look at it you will see that it is referred to as just SP2, not SP2 + SP1.
Microsoft service packs are cumulative, you only install the latest one.
Now, you can just install the SP2 CD on your machine as an "update."
Some people (like me) had some problems after doing that.
Alternatively, you can do a clean install of WinXP, then install the SP2 CD.
And lastly, you can make a slipstreamed CD comprised of the contents of your WinXP CD plus your SP2 CD. Makes a clean install of WinXP/SP2 a one-step install. That's what autostreamer will do for you (it automatically makes an iso image of WinXP/SP2 which you then burn to CD to make a bootable WinXP/SP2 CD.
Got that?