No dont need to do this just give couple coats of grey
Always prime your walls before painting if the surface is porous. The surface is porous when it absorbs water, moisture, oil, odors or stains
Sand down walls, dust off and apply a watered down 1st coat.
To get a good finish its best to sugar soap the walls clean, give them a sand and a fill, then prime again white, this helps to cover any flashing from filler and gives you a brand new surface to which you can then apply the grey. If the walls are in good nick then give them a good wash and you can apply the grey straight to it.
It's best to denib the wall to remove any loose or cracked paint work. Then apply a mist coat followed by 2 full coats.
For best results I would always repaint walls white before applying any colour