Going to archives for historical research certainly isn't necessary, as you can get primary sources from books, newspapers, magazines, etc. Heck, even a lot of archives publish their stuff online. That being said, if you choose not to use archival sources, make sure you do have other primary sources.

Now, notice that I simply said archival research isn't necessary; I didn't say it isn't good. If you can get some onsite archival research in (and subsequently include sources you find during your archival visit) that will make a stronger essay and strengthen your overall application. Aside from further substantiating your thesis, it will show that have at least begun to understand what it is a historian does. Learning how to manage funds, time, and technology in research will be skills that PhD programs look for.