Yes you do... it's automatic and immediate.
You need to equip them, under EDIT MY CLUBS.
Drag and drop and off you go.
*** From the FAQ Home page:
You need to equip your player with clubs bought in the Pro Shop. To do this you will use the My Clubs tool within the game. To access this tool you must be logged in to the game. Click on the My Clubs option under My Settings from the Main Menu. Additionally, you can access My Clubs immediately after you purchase a club in the Pro Shop by following the links on your Purchase Confirmation page or by clicking the View/Edit Clubs button prior to teeing off.
Once you are in the My Clubs interface you need to "click and drag" the club you would like to equip from the inventory section into the In My Bag section. Make sure you click the Save Changes button.