Yes, you should do it in order to ACTIVATE the event.
To obtain Shaymin, go to Route 224 (You need Surf/Waterfall HMs to access this route).
Here's what you must do:
Go to Pokemon league HQ, from there, enter Victory Road, look for another exit from this cave, this exit leads to Route 224 if I remember correctly. Look for the white stone there, when you found it, just activate it to trigger Shaymin's appearance. Enjoy the event