Yes, you do currently have to download the whole blockchain at least once. I can't remember if you have to save the whole thing before pruning begins or if it can prune as it goes along. Hopefully the headers+UTXO proposal will be implemented soon, as the total size of the headers is only 32 MiB (80 bytes per block) and the total size of the UTXO set is only 1.2 GiB. We've already dramatically reduced the bandwidth requirements with Xtreme Thinblocks, so storage cost is the major limiting factor for running a node.