Do I need to build my Substance Library before creating my first SDS?

No — for substances with a CAS number, you can add them on the fly while creating an SDS via Section 3's Add Chemical search. The library becomes more useful over time, as a shortcut for ingredients you use again and again. One exception: substances with no CAS number need to be created in the Substance Library first (see “Can I add a substance that doesn't have a CAS number?”) — Add Chemical's search only looks up the external chemical database, so those come into an SDS via Select Preset instead.