Yes. I am assuming you have purchased a complete kit with hoses and engine block adapter. If you live in a colder climate and run a cooler without a thermostat, the oil will never warms up and causes sludge in the pan and might cause damage to the engine because of insufficient lubrication. I would guess that Manitoba is considered a colder climate, so yes, you need a thermostat with the oil cooler.
A thermostat mounts between the oil cooler and the engine block adapter. Once the oil reaches 180F, the thermostat opens and allow the hot engine oil to cool.
Mocal brand has both an inline thermostat with clamps and also a screw on version with AN connections. The TR3 oil cooler uses 1/2"BSP (British Standard Pipe) connections at the oil adapter and at the cooler (usually). The clamp-on thermostat version requires you to cut the oil hoses and attach to nipples on the thermostat with standard band clamps. There's not much pressure there (max 70-80lbs/sq") so it will hold without leaking OK. The screw-on AN version requires 4 separate hoses with AN connectors on one end and BSP connectors on the opposite ends.
Both available a Pegasus Racing online.