Yes, you always need a MIDI track and an audio track for each synth you want to use because the synth needs MIDI input and audio output in order to work.
The Insert Soft Synth dialog box can take care of everything automatically. Just choose Insert > Soft Synths > [the synth you want to use].
Then in the dialog box, choose your options. The easiest thing to do is using the Simple Instrument Track option.