Its not necessary.
Keep in mind that when you create foreign keys, an index is not automatically created at the same time. If you ever plan to join a table to the table with the foreign key, using the foreign key as the linking column, then you should consider adding an index to the foreign key column. An index on a foreign key column can substantially boost the performance of many joins.
http://www.sql-server-performance.com/tips/tuning_joins_p1.aspx
MJ