You dont, but that makes it easier
When using filler I normally apply 2-3 thin coats of basic emulsion before I cover with 2 coats (possibly 3) when doing the main painting session
Its also quite important on what you are using to cover it, brushes will leave a more variable depth surface than a good roller
The paint itself matters as well, cheap paints will cover poorly, expensive paints may cover well, I say may as some expensive ones are just as bad as cheap ones
Primer is good if your using a fairly thin emulsion as it helps to prevent the emulsion sinking in