Well, yes and no. You certainly do not need to put your entire Latin study on hold until you can reel off the entire paradigms for all the pronouns and their meaings and cases by heart, backwards.
However, it might be an idea to just have them on a piece of paper somewhere to look at now and then, so that you recognise the words as ones you know when you come across them in your studies.
This is also true of anything you learn in Latin. I remember having no luck whatsoever remembering the irregular adjectives (endings in -ius), so after a while I gave up, intending to go back to them later. However after a few more chapters of Wheelock, I found that I'd learned them accidentally, just because they popped up so often. You may find that you'll learn these pronouns in the same way.