Yes, you should obtain and validate (the files will be GnuPG signed, and it is hoped that the people who sign are well connected in the web of trust) anchors for the root zone.
Eventually it is envisioned that OS vendors would provide and update these anchors, much as they all tend to offer timezone files updated with changes from the various civilian entities which claim authority to determine local time. The older anchors would become invalid after some period of time (I've forgotten, perhaps it's a year) and everyone would need to update often enough or switch off DNSSEC.