Which way do you want to go? Lower the number of teeth (Better on Highway) or go up in the number of teeth (better around town).
No, You do not have to change the front sprocket usually, unless , are you replacing your chain to? If you are, then Yes replace both sprockets with the chain, Front sprockets don't cost that much anyways, so It wouldn't hurt to replace it if you wanted to.
I changed my sprocket over the winter, I went from a 16 (front) 41 (rear) to a 17 (front) and a 42 (rear) and the bike performs much better (my other ones were very very worn anyways), barely raised to rpms to, But if you go to a 39 or lower rear sprocket it'll be much nicer on the highways.
Keep in mind if you go below 39 you'll have to shorten your chain, just a couple links. I have JT Sprockets (got mine at bikebandit.com) great price and they are steel sprockets.