Yes and no. It depends on what you want to use the sump for. If you just want the additional water volume and a place to put your heater, skimmer, etc. then you don't have to put in the chambers. The chambers in a commercial wet/dry are usually to keep the bio-balls in place so the filter works correctly. If you plan on putting macro in the sump, then chambering off the return pump would be a good idea, just to keep the algae out of the pump. You can get pretty complex designs depending on exactly what you want done. But often times a simpler design would function just as well. My current sump was a little overthought and it worked not so great. I made it simple and it works very well now.
If you decide you need to section off the sump, don't stress out about the difficulty. All it takes is some 1/8 or 1/4 inch plexi and some silicone. It's very easy to do and will save you a ton of money.