It depends on how far you want to go. If you want to beat Nemesis, then YES, you DO need them, because his "Celestial Armor" will randomly reduce any damage done to him by a random amount. Only Celestial Weapons can reduce the percentage of his Armor working. This is if you are willing to invest 200 hours into the game, or more, simply because you like to get EVERYTHING.

Yuna's and Auron's weapons are easily gotten. You don't have to do a whole lot to get the Sigil, so you can easily get the weapon.
Rikku's is easy if you find a guide on the internet.
Wakka's doesn't need many games.
Kimahri's, Tidus', and Lulu's weapons are VERY difficult to get.

It really depends on who you will be fighting Nemesis with that you get whatever Celestial Weapon you get. If you want to only beat the game, and not much afterwards, then getting the Weapons is a pointless and time wasting effort.