It's discussed in the FAQ. I've never needed to do it but some people swear it's a must. It's not a Toyota standard procedure for the MKIII but it is for other vehicles (including the MR2, but that has a far more complex cooling system).
Removing the jiggle valve from the thermostat will help bleed the excess air more quickly with no ill side effect. Filling the coolant reservoir will help ensure no new air is introduced as the system is cooled (at least not from there).
You MUST fix the leak however you go about purging the extra air.
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