It is tempting when you first notice the signs of a yeast infection to ignore them and hope they go away. But they will not, they will gradually get worse. At that point most women turn to over the counter treatments, home remedies or natural treatments. Many do not want to visit a doctor about their problem, usually from embarrassment and sometimes even from shame. A yeast infection is a common problem though, doctors have seen them before and there is no shame to it. And seeing your doctor means you can be sure of a proper diagnosis and therefore more chance of a successful treatment.
The problem is far too many women mis-diagnose themselves, over two thirds of women in fact think they have a vaginal yeast infection when in fact it is another problem, like bacterial vaginosis which has symptoms that are the same in most ways. But treatment is different, an anti-fungal will not help a bacteria infection, and antibiotics will not cure a fungal infection.
Therefore ideally yes you should see your doctor if you have a yeast infection, but at the very least see a doctor if it is your first infection, if you have a recurring problem, or if self treatment has been unsuccessful.