Yes, it’s a must and not an option as this verse reveals:

“Then Jesus said to His disciples, “If anyone wishes to come after Me, he must deny himself, and take up his cross and follow Me. ” (Matthew 16:24)

What is denial of self?

(i) For example, choosing to lose one’s life for “His sake” instead of “saving it”:

““For whoever wishes to save his life will lose it; but whoever loses his life for My sake will find it.” (Matthew 16:25)

(ii) Saying “no” to sin and living a “holy” life instead

“It teaches us to say “No” to ungodliness and worldly passions, and to live self-controlled, upright and godly lives in this present age,” (Titus 2:12)

(iii) In short, “obeying Him” and hence fulfilling “His Will” in your life (the true sign of “Love toward Christ”):

“If you love Me, you will keep My commandments.” (John 14:15)

What happens next?

“Jesus answered and said to him, “If anyone loves Me, he will keep My word; and My Father will love him, and We will come to him and make Our abode with him.” (John 14:23)

It’s a must for everyone who wishes to be Christ’s disciple (thus, it’s never an option for a ‘true’ believer):

“Then Jesus said to His disciples, “Whoever wants to be My disciple must deny themselves and take up their cross and follow Me.”.” (Matthew 16:24)

P/S:

What does following God’s Will mean?
For example, consider an all time favourite topic, “marriage”.

If God Wills for you to marry, only then you marry (e.g. Isaac).
If God does not Will for you to marry, then you don’t marry (e.g. apostle Paul).

How to know if God Wills marriage for you or not?
He Will speak to you personally. It’s difficult to explain. Basically, If you are a true believer, you will “know” and His “Peace” will follow indicating that right decision. Even circumstances will fall in shape without you needing to contradict His Word nor His principles to attain that desire.

Also, if there’s no spouse-choice who can edify you spiritually, it’s a clear sign “not” to marry. For if God Wills it for you, He will provide a spouse at that spiritual-yoke-level as yours lest you be unequally yoked with an ‘unbeliever’ (relatively too).

In the end, to hear from God (by His Holy Spirit through the outworking of His Grace) is between You and God. It can’t be explained further.

Lastly, the Day will reveal it; whether or not one was led by God or otherwise.

Remember, those who are “truly” led by the “Spirit of God” are the “sons of God” and they do “not” make their own decisions “first” and then request God to “make it happen” but do it otherwise (i.e. follow God’s Will, being led by Him “first”).

“for as many as are led by the Spirit of God, these are the sons of God;” (Romans 8:14)

It’s not an objective answer but a subjective one since God’s Will toward each one who is born of the Spirit is different:

“The wind blows where it wishes and you hear the sound of it, but do not know where it comes from and where it is going; so is everyone who is born of the Spirit.” – Lord Jesus Christ (John 3:8)