They don't have to be, no. But if you want them to not be indexed, you should add them to Privacy. It doesn't matter when you do it... just that you do if you don't want indexing.

It seems that I've missed this useful thread. I still use the old disable_spotlight script method on 10.4.3 and I'll do the steps described in this thread and won't use the script any more, as soon as possible.

Just before that, I suppose I should ask one thing. With the help of the disable_spotlight script when the backup disk mounted there is no indexing for backup drive, so far so good that's what I want it to be. But, if I startup from my backup disk, spotlight is starting to index (dot blinks). I first thought that was normal and Mac OS X re-enables the disabled indexing for the backup disk bacause it's the current startup disk. But I noticed that it also re-indexes my usual drive every time when I startup from my backup drive. Is this normal, will the new method prevent this from happening?

That's normal, and it happens because the files "change location", from "/" to "/Volumes/your drive/..."