Yes, shorting the check connector is necessary. What it does is disable the electronic advance, so you can get an accurate timing reading.
The check connector is located in the wiring harness, over around the battery. It should have a black rubber cap on it. If you look at your underhood sticker, it should show which pins in it to short (I think it is the bottom 2, IIRC)...that is with the little "tab" on the side of the connector at the 12:00 position, when you are looking at the end of the connector).