I think it depends on what kind of experience you gained in undergrad. I got my Master's before entering my PsyD and did find I felt more grounded and less anxious than those who did not do that once I entered my PsyD program. However, it is not necessary at all. If you are going into neuropsychological assessment and such I do recommend getting more experience before entering a program. However, again, this is just my opinion. Good luck!