"Of course, you do! The rules say so: it is forbidden to start a race with a smashed muffler. If you're an amateur, it depends, it's something to consider on a single-case basis: it the blow was in the part that connects the engine to the exhaust, you're better off changing it, period. If the bulge is on the actual chamber, you con let it slide if it's a tiny dent; but if it's caved in, you should replace it to avoid an off-balance in gas flows and potential alterations in engine performance."