No you don't. And you don't include a printed insert with the registry information in the envelope either.
So how will your guests know where to purchase a wedding gift from? Either the information will be posted on your wedding website or they'll ask you or your parents or other friends/relatives who are going to the wedding.
Don't worry, the information will get out there.
A girl at the office called me the other day because she was invited to a wedding and couldn't make it. She wanted to send the couple a gift but since the registry information wasn't included in the invitation suite she didn't know what to do.
I suggested just asking the couple or she could Google the couple's name and possibly find their wedding website or she could enter the bride's name into a few popular national stores and she'll most likely come across the couple's registry.
So she entered the bride's name into Bloomingdale's Bridal Registry website and the couple's registry popped up.
There's always a solution!