Yes, you need to make a connection at a resort when using Disney transportation. In some cases one of the legs can be done on foot (no pun intended). For example bus from Hollywood Studios (or any theme park) to Saratoga Springs Congress Park and then walk from there to Downtown Disney.
Or you could take a taxi for a direct (one seat) ride.
We will usually take a bus to SSR or OKW and then walk or boat to DTD. Or, we will walk to Boardwalk and take the DTD bus, but that usually takes a little longer.