Not necessarily. It depends on the rest of the sentence. A comma will be required at some point in the sentence, but it's not always directly after the words you have quoted. "Though" and "although" would never have a comma directly after them. For example:
However, the film was lost when the family moved house.
However tall he might be, he still can't reach the top shelf.
Although I like pizza, I couldn't eat it every day.