If you're talking about for modding/mods, yes, for the Steam DL version you have to make the folder yourself. It goes under Fallout New Vegas/Data/textures ... but then you need more folders that actually have the textures themselves, eg
Fallout New Vegas/Data/textures/armor/wastelandclothing01
So if you have a mod that wants to add an armor mesh & texture, you'd do this:
Fallout New Vegas/Data/meshes/armor/(folder that contains the mods meshes)
Fallout New Vegas/Data/textures/armor/(folder that contains the mods textures)
The issue with the steam version is that all the default textures and meshes are packed into .bsa files only, meaning you can't see the individual dir. trees/files...so if you want the GECK be able to "see" all those things, you have to use a utility to unpack the .bsa's and copy the gazillions of folders/files into the game Data folder.
However if all you want is to install a mod, you do not need to unpack the .bsa's, nor do you need to create the entire texture/mesh directory trees...just the ones that the mod uses.
Hope that helps/isn't too confusing.