No they don't. Although the comment above is a little tongue in cheek, it is also correct as I found out with mine. I didn't expect them to be down to metal following maybe 4,000 miles after MOT.
If you are doing them yourself they are easy enough. You will need a wind back tool if you have a manual handbrake. If you are replacing discs as well you may need a T12 torx socket if caliper bracket retaining bolts are the same as mine.