Yes, if you are using the drain connection to drive the minus side of a relay coil, add the dide across the relay coil. Although MOSFETs have an intrinsic body diode, they are not connected correctly for that particuar type of protection.
If you mean putting a diode in parallel with the coil with reverse polarity, this is typically done to quell the flyback effect of the collapsing magnetic field, which causes a high voltage. This type of diode arrangement generally should be done regardless of the driving device.