Should you wash your bed sheets before use?

Definitely yes.

There is chemical residue left over from the dyeing and manufacturing process - same with new clothes. Your skin is your largest organ and you don't want to be absorbing those chemical compounds.

I would say, even if you are buying organic cotton sheets -

it would still be a good idea to wash them

... and best to wash in soap that has no harsh chemicals - like

http://www.seventhgeneration.com/

this goes for clothes as well!!!