Yes. It is important to use weights to ensure that the sample is representative. As well as making the data reflect the composition of the general population, weights also account for how survey companies collect the sample (for instance, they may over-sample Scottish respondents).
More information on the weights that we provide is included in the documentation that accompanies each dataset. For information on how to weight your data, consult the documentation for your respective statistical software (e.g. SPSS, Stata, or R).