YES, you certainly need a Thermostat for even cylinder wear, stable oil tempratures, and stable control of your engine by your ECU. I added a link to better edumacate folks who think running no thermostat is ok. I too live in San Diego and right now when I leave for work it's darn chilly so I need heat asap for myself not just the engine.
Geezer
http://www.centuryperformance.com/coolingsys.asp