No, you do not. It will be done automatically.
When you sell a ship, all the troops on board automatically go back to the Reviewing Stand.
You could check the amount of troops at the Reviewing Stand will increase when you sell your ships."
■ How to Check the Number of Each Unit
- [Main Screen] > [My Dominion] > [Barracks] > [Train Troops] > [Select Unit]
However, this does not include the troops on board ships.
Click on the horse riding NPC at the Reviewing Stand to check [Troop Status].
■ Info that can Only be Checked at [Troop Status]
- Stationed troop/food spent/wounded troop/prisoners/number of troops at Reviewing Stand/munitions (Weapons/Cannons)