No, you don't have to.
If you were to set the platform to 1x and built, the 1x textures would be preloaded. You don't have to save the scene manually for it to take effect.
Its the least of the evils compared to all the other methods, I guess, but I have a really much lower level hack in place to work around this.
HACK ALERTThis is a nasty hack to work around a much much nastier bug in Unity, so don't be alarmed by its nastiness
1. Make a build script to build your game. You probably already have one.
This is important, otherwise you'll get really annoyed having to do the next step every time you build. Its really simple - refer to
http://docs.unity3d.com/Documentation/ScriptReference/BuildPipeline.BuildPlayer.html2. Before calling build player, create an empty file in your project directory (i.e. outside assets, where libraries, etc. live). The file should be called
tk2dOverrideBuildMaterial. No extension.
3. Now build your project - you should see all your scenes load in while it is building, but everything will be white.
4. After your project has built, delete the file, and reload your scene. It should appear correctly now (if it doesn't a restart of Unity will certainly fix it).
You can automate the whole process, so you won't have to create & delete the file every time.