No, you can float them. The problem is there are very few balanced input amplifiers (really just acoustic amps with mic inputs that I know about), and no balanced input guitar pedals I don't think.
It's too bad, because it works perfectly. I wrote about it here:
http://www.naiant.com/guitarwiring.html
Since I wrote that I've become convinced the best approach is a transformer in the guitar. I use a 200K:1K transformer that works great. You lose 22dB with that, but the guitar is now not only balanced but also low output impedance. You can then use a 1/4 TRS to XLR cable, any ol' cable or length, and not worry about cable capacitance. But again, you would currently be limited to using an acoustic amp, or adding a transformer to a regular amp.