It depends on a few factors.
Do you have a stable internet connection?
If you have a stable internet connection, you do not need to check the integrety of the file as it will most likely be correct. I never check the hash and I also never have had corrupt files. Or maybe one time when the remote server disconnected.Do you want to verify the file based on security reasons?
If you are concerned about the safety of the file you're downloading, you can use the MD5 hash to verify that the file was not somehow altered. You download a file and if the MD5 hash doesn't match, it means the file on the server is different than the MD5 hash, and somehow something is wrong. This would only be valid if you don't trust the server you're downloading from, but usually if someone provides a hash, they usually also try their best to keep things updated. But if their site got hacked, and you did check the MD5 hash, then you got the little bonus.
Overall, these 2 will give a no to most people. If its a no to you, thats entirely up to you of course.