Yes, you do. Here's the law:
Any person who is registered to vote may vote before the election date as permitted by Utah Code 20A-3-601. In order to be eligible to participate in early voting, voters must be registered to vote at least 30 days prior to the election, or October 4, 2010.
In order to vote during early voting, voters must present valid voter identification. This is either a form of identification that bears the name and photograph of the voter or two forms of identification that bear the name of the voter and provide evidence of voter’s residence. The early voting period will begin on October 19 and will continue through October 29. The polls will be open for a minimum of four hours during each early voting day and will close at 5 p.m. on October 29.
To find your early voting locations, go to http://elections.utah.gov/.