Not every app requires a reboot, but for the ones that do, yes you need to tether each time. (That's why it's called a "tethered" jailbreak.) Most apps don't require a reboot, but a few of the big ones that people tend to install right after a jailbreak (Winterboard springs to mind) do require it.
One thing you can do to make it easier is to queue your Cydia apps so they load all at once instead of one at a time--after you press Install, press Continue Queuing and go back and do the same thing for the next app you want. When you have them all ready in the queue, you can THEN press Confirm to load them all at once. That way if you install three apps that require a reboot, you only have to reboot once.
Hope that helps!