In short - for most cases, but not all, yes.
Typically, it's a great idea to add those who text in your Keyword to a List. When Subscribers are stored in a List, you can easily text them all again with the click of a button, instead of having to add each name individually. Whether you're using the Keyword for following up with guests, gauging interest for small groups, or sharing announcements with your church, it's nice to text that List easily later on.
If you don't wish to contact that group in the future, you may not want to use the "Add to List" step in your Keyword Workflow. For example, this may be applicable if you're hosting a one-time event and you're using your Keyword for registration.
Note: Your Keyword Workflow must include the "opt-in" step in order to use the "Add to List" step.