Yes, you will need to stop at the Front desk to get this done and set a PIN code. Not all Front desk CMs can seem to get it done correctly, keep an eye on your first couple of charges to make sure that they associated with the proper MB / CC pair.
A good suggestion that is often posted it to make a small purchase at the resort store or food court to double check that the MB works, your PIN works and that your charges show up on the correct CC.