Yes, anytime you change the gauge of strings you are using, you need a setup to make your guitar play right.  You are changing the tension on the neck, which is a long, thin piece of wood, after all), and so the truss rod will need adjustment, the action will need adjustment, and the intonation will need to be adjusted.  When I make a nut for an electric, it can handle anything up to .012's, but this is not the case for all factory nuts.  You should not need a NEW nut, unless there is something wrong with the one you have, but you may need to have it adjusted.
Believe me, a well setup guitar sounds better, is more in tune, and is a lot more fun to play.
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