No you do not. It’s a common misconception that you must have a TSA approved lock when checking in guns on a commercial flight however that is not the case. If you choose to lock non-firearm baggage a TSA lock is required (or else they will cut your lock off). When it comes to guns however use a normal lock. In fact a normal lock actually prevents the TSA from tampering with your firearm after it has been checked. When you first check your gun in, the TSA agent will inspect it to ensure everything is safe. From that point no other agent needs to inspect the case hence a normal lock is the way to go.
With that being said how do you know what a TSA lock is?
Any lock with this symbol is a TSA approved lock:
For example these locks are TSA approved locks & can be used to lock any non-firearm luggage:
But when it comes to guns be sure to use something like these instead: