Do I need to back up my OS system before changing the battery?

It is definitely a good idea, just in case something happens when opening the computer. The best method is to use an external / portable drive, and set it up with Time Machine.

Back up your Mac with Time Machine

Are you replacing it yourself, or are you sending it out for service? Also - what model MacBook Pro?

Typically a battery swap doesn't require any removal or wipe of the drive, but there's always a possibility for whatever reason. If you bring any device to Apple for servicing, they will require that the customer sign an acknowledgement that the data may be wiped. It could be in order to test the system. They also reserve the right to process a "battery replacement" as a complete swap of the device for an equivalent one that will be in factory condition. For older (Unibody) MacBook Pros, the battery replacement is pretty simple. The procedure is simple enough that almost anyone could do it with simple tools, although Apple doesn't consider it DIY work. The newer Retina models all have the battery glued to the top case, and most replacements are done where the entire top case/keyboard/battery are replaced as one unit. The old one is exchanged and then likely goes to a place where it gets refurbished and eventually goes back into service as another top case replacement part.