Usually yes. I wear either safety glasses or my sunglasses, which have better quality lenses. Sometimes when the light conditions degrade I take them off for a few shots, but ONLY if it is a paper or cardboard target.
I found out that lead pellets do ricochet, oh yes they do! The target might be hard plastic or a pinched section of can but some pellets can ricochet if they hit the target at a certain angle. Even flimsy soda cans can bounce back a pellet if it hits a pinched area or just inside the rim where the surface is concave.
People posted all kinds of ricochet mishaps or near-mishaps in a thread I made here about ricochets. (As you might guess, the most dangerous incidents involved PB bullets, but there was plenty of damage done by pellets, too.) Closest call I had was a pellet that flew back towards me at a slight angle, missing by probably only a foot or two. It hit a wall and I found the pellet on the porch floor.
The safety glasses don’t cost much.