In general, yes, RAW files will need sharpening. This is for two main reasons:

1. First, the processes (both at the physical sensor level and in software) to convert the raw data to a useful image tend to result in soft-looking images. for more details, see the answers in Why should my last post-processing step be sharpening? and Why do photos look best without any sharpening?
2. Most in-camera JPEG conversions apply at least some sharpening, so unsharpened RAW files will appear "soft" in comparison.

For a quick starting point for sharpening RAW captures (and reducing noise) in Lightroom, I suggest Thom Hogan's quick guide to proper sharpening and noise reduction. That's a great little introduction to what the various sliders in Lightroom are doing. There's also a great description of the Lightroom sharpening sliders in this article on Lightroom News.

Unfortunately, every image really is different when it comes to sharpening. Here's how I do it when I'm going down the sliders in Lightroom:

1. Start with setting Amount at 50 or maybe 100. It needs to be above 0 or else there's no sharpening at all and you can't see what the other sliders are doing. It almost certainly won't stay here; you'll come back to this.
2. Radius depends strongly on the type of detail in the image. Lots of fine details, go with smaller values. If there's not a lot of fine details, you can go higher. You can also use Detail to suppress the effects of Radius and Amount on fine details.
3. I start Detail at 50. At that level it won't be suppressing the fine details halo very much and you can judge what Amount is really doing. Lower values reduce the effects of Amount and Radius on fine details, while higher values apply more sharpening to fine details.
4. Set Masking as high as you possibly can so that the sharpening is only affecting edges you want (hold Alt/Option while dragging to see the mask). Remember that affected areas are white, so you want white edges.
5. With the radius, detail, and masking set, adjust Amount according to your taste.

Basically, you don't want to over-sharpen at this point, and you don't want the sharpening halos around close-proximity edges smashing into each other and ruining the effect.

If you have an area with a lot of fine detail where the edges are competing with each other, first try reducing Detail, then Radius until they're no longer conflicting.

You'll come back to everything again after you apply noise reduction. It never stops!

This is just a starting point – every image is different and you might have a workflow or look that you prefer.

Beyond that, you can also get into creative sharpening (you're probably going to want Photoshop for its layer and blending controls for that) and output sharpening (which Lightroom handles pretty well). For a little more on those, see Patrick Levoie's guide to digital sharpening (.pdf). For lots more details, I'd also recommend the book Real World Image Sharpening by Bruce Frasier and Jeff Schewe.