The quick answer: Yes.
The long answer: thermal couplesthermocouples use the difference between two metals at temperatures to generate a voltage that is representative of the temperature. This means that all of the cable, from the thermal couplethermocouple to the sensor, needs to be this special combination of metals to give you the temperature measurement accurately. You can buy thermal couple wire for this purpose.
That being said, I have used systems where we had a K-type thermal couplethermocouple, going into a standard header on a PCB, through standard tracks before going into the sensor, and that could give us a value. The issue with using something other than a proper header is the accuracy of the reading. We knew roughly what the offset was (appeared to be an offset of around +4C at the temperatures we were interested in) and just adjusted accordingly. But that was the advantage of being in our own test cells, where we had other sensors to compare the value to.
So, while you should use proper connectors, you can get away without doing so.