Yes, you need to do it yourself, and I would do it asap. They are trying to get the ME tags sent out earlier than they initially were. You will need to give them your flight information.
We called about 8 weeks before our flight, about 3 weeks before departure we recieved our tags in the mail.
My brother didnt arrange his flight until 2.5 weeks before the trip, and they said that it was too late to get his tags to him. He was still able to ride ME with no problems, but he had to take them his luggage claim tags when he arrived so that they could get his luggage for him.