Yes. You owe it to your employer and to your co-workers to report through the organization’s channels to give the employer a chance to solve the problem promptly, before others are affected. A prompt complaint is also something that you owe yourself, even if your sole concern is to sue your employer. If you fail to use internal procedures, the employer’s defense team will be sure to use that fact to argue that (1) the conduct complained of never occurred, (2) the conduct was not really unwelcome, (3) the conduct was not sever or pervasive enough to create a hostile environment, or (4) the employer cannot be held responsible for preventing or correcting harassment that it did not know about.
Furthermore, under the 1998 decisions by the Supreme Court in Ellerth and Faragher, if the employer has an effective anti-harassment policy that the employee unreasonably fails to use, the employer may win the hostile environment lawsuit on that ground alone.
Failing to complain can be particularly harmful to your legal interests if you claim that harassment forced you to quit. It is hard to blame your employer for forcing you off the job if it could have corrected the conduct but was never given the opportunity to do so.