Yes, you do. If you own an R4 card, there's a mechanism in which you can transfer the save file onto your memory stick so you can play it. Alternatively, you could load up the pokemon file with pokesav and it should have your pokemon on it - this method requires an AR.
There might be other methods nowadays - like uploading it onto a trade link via an internet connection and trading it that way, but I've been out of the scene for far too long to know lol