You don't "have to" put polyurethane or other coating on the base board, but it's not a bad idea. One you've got something on the wood, it is much easier to clean, it will last a little longer, and look better (though this is my opinion). Make sure you put on at least two coats (three is better) on those base boards since they will take a lot of abuse (follow manufacturer's instructions). They're going to get kicked, hit with the vacuum, scraped with furniture, etc. Just remember, NOW is the time to do all this stuff because once you're done with the work, you won't want to go back and do it again. We're finishing up the remodel of out house, and believe me there are a lot of things I wish I did when we still weren't living here, it was messy, and I had the will. Now that everything has calmed down, we're all too tired of the dust, noise, and aggravation that comes with those things. Good luck.