I'm putting together my first real shop and am planning on a dust collection system. Do I have to ground it?

You must ground your dust collection system. Not only is it cheap insturance against the possiblilty of a dust explosion caused by static buildup, but the static charge accumulated by the system *hurts* when it discharges to you! Just run bare copper wire on the inside of your pipe connected to every machine on one end, and a proper ground on the other.