There are two schools of thought on this subject. Some never wash, and some quilt teachers claim it is not necessary unless you feel it will bleed and possibly ruin your quilt.
I have heard of people who had problems when using Bali Pops or Jelly Rolls, and the finished quilt having faded or runny fabrics.
I wash some, and not others. But, always am consistant in the same project. If I was one piece I wash it all.
I have had some bad experiences when I did not wash, like an unreasonable amount of shrinkage. Also prewashed a back one time and had it go from bright and cheerful to looking stonewashed after the laundry process.
Some people wash strips or small pieces in lingerie bags.
I usually prewash my cotton batting, as I do not like that shrunken look.