Hello.Yes you must.

1) Subscribe to the planet that you wish to have in your game.
2) Create a new game from whatever starting scenario you wish, Asteroid, Easy Start, etc.
3) Edit the settings of that world, and add the planets to the world as mods.
4) Enter the world and access the Spawn menu Shift F10. If in survival you'll need to enable creative tools thru the Space Master menu Alt-F10 (don't forget to disable them when done.)
5) From the Spawn Menu select Planets and then under Generate Seed click the pulldown and select the world to which you subscribed.
6) Click Spawn Asteroid/Planet. After clicking Spawn Asteroid/Planet a green sphere will appear. Use your mouse's scroll wheel to push it away or pull it close then left click to paste it into existance.

Thats it ;)