The operator is "should", which implies a "need" or necessity - and answering the question in that context would be tricky because "need" is always subjective.
However, there are benefits in being able to leave the Insider Program - something which Microsoft has made easy for us. Considering that the Lumia 950 shipped with 10586 (at least that's what I've read), we could safely presume that 10586 is somewhat RTM. Thus, once 10586 is installed in our phone we could simply opt out of the program to protect ourselves from automatically receiving succeeding builds which may be more unstable than 10586 (although the odds of that happening may be slim).
Nonetheless, the beauty of the simplicity of opting out works in opting back in. With that, the safest route suggests itself to be:
1. Once 10586 is installed, opt out of Insider Program.
2. Once a new build is announced, read about it first.
3. If it is stable and safe, then simply opt back in to receive the new build.
4. Once new build is received, repeat step 1.