Strictly speaking yes you should, I imagine in the future there will be stricter rules and recognition regarding bitcoin and exchanges so the governments don't miss out on extra tax money.
I sure with the existing rules and regulation everyone who makes money trading should pay the tax as long as you convert them to fiat currency you are obliged to pay your tax and if not you would end up in trouble at a later time as you would be forced to pay fines for not filing your taxes properly.