Yes, you should tell Vim where to find your tags file with something like:
:set tags=/path/to/tags
This is not very optimal, though. This line in your ~/.vimrc should help:
set tags=./tags,tags;$HOME
It tells Vim to look for a tags file in the directory of the current file, in the current directory and up and up until your $HOME (that’s the meaning of the semicolon), stopping on the first hit.