No, you don't have to use a filter. "Natural Lens Flare" is self-explanatory already. This is the lens flare inherent in lenses, so all you really need is a strong light source, like the sun.
Some of them can be simulated in post production, and for others, it's best to select lenses based on their technical weaknesses to obtain 'naturally occuring' flare.
Also, you often get more flare when you place the intense light source (sun, spot light etc) just outside of the frame at one of the corners.