Yes, Confession is a must-do.
Protestants claim that Confession (aka the Sacrament of Reconciliation) is unnecessary, but that claim totally contradicts the Word of God.
Kevin M. Tierney wrote at Catholic Lane:
When one repents of their sins in the Bible, it is always done to another individual.
The clearest case of this is with David after he commits adultery and arranges the murder of the woman’s husband. David only repents of his sin once God’s representative Nathan confronts him. (2 Samuel 12:1-13) David knew he had sinned grievously in his adultery, otherwise he would not have had Uriah killed to conceal his crime. Even knowing the extent of his guilt, he refused to repent. This speaks to the human psyche’s ability to rationalize away what they do so that it is no longer a sin. This is a skill humanity has nearly perfected in today’s age.
Another thing worth considering is how professing something vocally changes things. It is very easy to say something silently with no witnesses. It is something altogether different when you have to acknowledge your faults before another. One could say it becomes a far more serious endeavor when you are not only willing to renounce your sins, but renounce them forcefully out loud. The first step on the road to repentance requires you to renounce those sins. While it possible to fake such, it becomes far harder to do so. (It goes without saying that such a faked confession would be a sacrilege, and compound sin upon sin!)
Whenever I hear Protestants say that confessing sins to a priest is wrong, I am reminded of Luke 5:21, in which the Pharisees say that only God can forgive sins, and doubt Christ’s ability to do so. They are so blinded by their ideology that they can not recognize that God (Christ is God in human form, both fully human and fully divine) is before them.
Am I brazen enough to compare priests to Christ? In a way, yes, because priests serve in persona Christi (a Latin phrase, meaning “in the person of Christ”).
In John 20, Christ clearly gives the Apostles the power to forgive sins.
“And when He had said this, He breathed on them and said to them, ‘Receive the Holy Spirit. If you forgive the sins of any, their sins have been forgiven them; if you retain the sins of any, they have been retained.’” – John 20:22-23 (NASB)
From there, the Apostles passed down their “powers” through apostolic succession (a topic I plan on writing about in the future). Those “powers” are possessed by our bishops and priests today.
So, like Devin Rose asked, would you have confessed your sins to an Apostle? If not, you contradict Christ. And, if you would have confessed your sins to an Apostle, it only makes sense that you would confess your sins to a priest.
My first confession was the week before I entered the Church. I was so nervous, but I tried to be prepared: I had done an examination of my conscience and had printed out a version of the standard Act of Contrition. I was ready, or at least, I thought I was. But there was just something unexplainable about that few minutes. I truly felt like I was speaking with God. Like Laban felt with Jacob in Genesis 30:27, I felt that God blessed me, forgave me, and transformed me through His priest.
That is why the Church teaches that Catholics should confess at least once a year (the saintly Cardinal Arinze commented on that here). The Sacrament of Reconciliation is an amazing gift from God, so we should utilize it.