Yes you do. What files are in the folder ~/Documents/Virtual Machines?
Mine, for example, has a file called Windows XP Professional. Right-clicking on that file and selecting "Get Info" shows (under "Name & Extension") that it's actually called Windows XP Professional.vmwarevm. To back up this VM, I simply copy this file to another location.
It's possible that you'll see other files, such as a .vmx and .vmdk files. In that case, copy all of them.