Yes. Rinse it a LOT, like 20-45 mins a bag. There are a lot of methods to use, do a search for "rinsing flourite" and you'll find a wealth of info on that topic. Some people say you can get the least amount of cloudy water by drying the substrate out completely for a day or more before adding it, but I've never tried that.
Even with a lot of rinsing, it will still cloud up your tank when you move stuff around, so plant it before adding water (learned that the hard way) and add water realllllllly slowly onto a plate as to not disturb the substrate too much. Try adding a polishing pad and carbon pad to your filter too, it will help clear up the cloud much faster. (you will have a cloud no matter how slowly you add the water and how much you rinse it)