Nope, just put the UA code they give you on the Web Analytics page in Your Shop. Etsy will do the rest, and it should start tracking within 24 hours.
Go to Your Shop, scroll down. On the left sidebar under Shop Settings, there a thing that says Options. Click the Web Analytics tab, and there's a place to paste your UA-string of numbers code. You don't have to get that long Javascript code. Click save, and you're done!