Yes you do but you usually netboot to do large installations so this is just a case of adding a new root device with some extra tools on it on your netboot server.
There is an official solution in -current that involves DHCP but I don't know the details.
You can netboot Linux. Knoppix [1] offers Terminal Server which configures DHCP, TFTP and NFS so that you can boot Knoppix from the local network.
[1] http://www.knoppix.org/