Do you have to insulate the cold air return ducts ...

If you want full control of the system yes.  Alot depends on where the return duct is run (cold air return is out dated as most returns are in the center of the homes.  Cold air returns came from the days of coal stokers or other similar systems that had high supply temps and the returns were on exterior walls to help temper the hot air)  if through an attic or other space that is non conditioned then yes because of the extremes of temperatures and the effect it will have on the return air teperatures.  I always insulate my return ducting so that I know that the return temperature will be within 1-2 dgrees of the indoor temperature.