Well, the Tournament Director saves tournaments as individual files, so yes, you do need to keep tournaments "in files".
I suspect you are asking if you need to keep tournament files in order to retain player statistics, and the answer to that is also 'yes'. The player database only records personal information about players. The Tournament Director computes statistics by loading your saved tournaments and compiling data from them. So, if you don't save a particular tournament, or delete the tournament file, you'll lose all information pertaining to that tournament.