possibly.. you may already have it. just insert the att sim card and see if data is working. if it is, then nothing to setup. if not, you can go to settings options and setup.
I believe if you are coming from an iPhone and attempting to use the nano sim from that phone you may need assistance from AT&T. I don't know for sure.
What I do know is, you can take an AT&T nano sim out of a Windows Phone or Android phone and pop it right into the Moto X without issue. My Moto X came preset to T-Mobile, but popping in my AT&T Lumia 1520 nano sim went without a hitch.