Not only will you want to put in a layer of compacted sand for the aforementioned reasons, but you will also want to install the sand over some kind of impermeable barrier to prevent (or at least delay) grass and weed growth later, and pitch that away from any structure or foundation so that water drains away.
That is, the barrier and good drainage is necessary unless you want to encourage grass between the stones, which is also a pleasant effect, if done and later maintained neatly. For a really first-class job you’ll also want to put some kind of border around (even if all of it is sunk below grade and invisible to later users) to prevent surface roots in the soil from undermining stones later.
On the other hand, if you’re installing in a gravel bed, then nearly none of that is necessary. I’ve seen it done both ways.