Not necessary (but go ahead if you want)
The metal components of your drivetrain - chain, chainrings, cassette - are put under tremendous stresses when you pedal. They wear out over time because of this force, and they wear out in a pattern (but you already know this, because you're replacing all of those parts together).
Your plastic derailleur pulleys do not bear any of this force at all. They are there just to keep the chain moving along and don't wear much at all, comparatively speaking. If you clean your derailleur up really well, you may notice virtually no wear.
All that being said, they're cheap and easy to replace. If they look worn, replace them. If not, don't sweat it.