Do I have to thin the material?

This will depend on which front end is being used. If your material will not spray at all or if it spits/splatters it may need thinning. If thinning is necessary, as little as 5% can make a big difference, and up to 20% is fine.  Use water for water based materials and mineral spirits for oil based materials.  Never exceed the thinning advice given by the coating manufacturer. You can also add a flow agent, like Paint Easy by Wagner (this is not a thinner) for latex paint.  Make sure you adjust the air flow and material flow settings for your specific material needs. Make sure your material has been properly mixed and strained.