Yeah, you really should.
Even if you're staying totally DS9-centric, I'd still recommend at least Destiny and A Singular Destiny before starting Rough Beasts. Also be aware that a big DS9-relaunch subplot gets resolved in Paths Of Disharmony, which also features Shar. And if you read that, you might as well throw in the one TNG novel that takes place between Destiny and Paths, which is Losing The Peace. But I'd say Losing The Peace and Paths are optional; Destiny and A Singular Destiny are much more important.
Disagree entirely, but that's just me.
That book gave me a headache.