Absolutely positively one hundred percent NO.
I have never dressed femininely for a single therapy appointment, because I'm not going there to ask for fashion tips and my state of transition hasn't compelled me to do so yet. Any good therapist will take you as you come and try to understand where you're coming from inside. The outside stuff only makes it into the conversation when what you're telling them makes it an issue (i.e. if you tell your therapist you dress everywhere except when you visit them; or if you tell them you really, really WANT to show up dressed but you're afraid of rejection from them, they might suggest you show up dressed).
Not many therapists would turn you away for showing up dressed, but I've never heard of a single one who would require it for a first session.