No, it is necessary that you have to use transition words at the start of the sentence. According to the requirement, you can use the transitional words at the starting, middle, and at end of the sentence. Students get confused when they start to use transition words in their writing. But, it is not like you have to use these words at the beginning. For example, I enjoy her company because she always throws good parties. So, try to build a proper understanding of the transitional words before using them.