No, you don't have to set them again.
When you run ver. 6 for the first time, your current library will be converted for use with ver. 6.
All the information in your library, such as cue points, beatgrids, and playlists, will be copied over. (You can also do this manually by selecting [File] > [Library] > [Import your library from ver. 5 (or earlier)].)