No, you don’t need to do anything with the discs – OSX and the standard applications are already installed on any new machine. When you start it up, it will play a short intro video and then lead you through the registration process and internet setup, so get it plugged into the network, or be ready with the wireless network password first before starting it.
You will probably need to download some OS updaters as soon as it is set up. This is done automatically, or through the Software Update item under the Apple menu.
Here’s what comes on the OSX DVD (and installed on the Mac’s hard drive) http://www.apple.com/macosx/what-is-macosx/apps-and-utilities.html
In a few select instances such as if you are programming or setting your machine up as a web server, you may have to install tools from the DVD. But this does not affect 99.9% of Mac owners.