Yes, cycling would be advisable. Shrimp are extremely sensitive to water parameters and the smallest amount of ammonia can kill them. Also be careful not to feed allot until the tank has become established is very important.
I just set up a brand new tank for my blue Velvet shrimp but I am using a 6 month old filter from another tank to seed the new sponge filter I added in there. I also check the levels every day, I am at the one week mark with no shrimp deaths.