No, you do not need to retract it, but if it is capable of being retracted it probably will retract during penetration.
It is not necessary to have a foreskin that will retract. Some men live their entire lives with a non-retractable foreskin. They can masturbate, have penetrative sex, get married, and father children with a foreskin that does not retract.
http://www.circumstitions.com/Restric/adult-non-retr.html#adult