Technically you don't. However, you would need to have one set up in memory, instead. This can be more than many users are willing to put up with.
Also it is not a swap file. It is a swap partition which Linux usually sets up automatically.

Check out your /etc/fstab file. Look for a line that says swap.

In mine it looks like this:

/dev/hdd1 swap swap defaults 0 0

If you see something similar then you do indeed have a swap partition.