Just received an iPhone SE. No Instructions. Do I need to charge it right out of the box

Usually not. You can charge it if you want but there is no requirement to as long as it has enough battery power to start and run.

The following may also help: Turn on and set up iPhone - Apple Support

The FAA has changed the regulations regarding flying lithium ion batteries.

It used to be you could ship fully charged batteries.

Now you can't.

It is not required that you charge it straight out of the box or charge it to any specific battery level before use.

I generally do connect it to a charger during the initial setup and restore from a backup because it's usually below 50% charge level out of the box.

I think it's a good idea, but it wouldn't damage it to use it. I generally prefer it because the amount of charge that might be on a new out of the box iPhone can vary, and the process of setting it up could take a while.