when you are writing a letter or any document that is more than three pages long, do you have to include continue at the bottom on the first and second page.
No, but if it's more than 2 pages, you may want to include page numbers.
You may also want to say Page 3 of 6, Page 4 of 6, etc. so the recipient knows that there are six pages and can keep the pages in order.
I'm not a teacher, but I write for a living. Please don't ask me about 2nd conditionals, but I'm a safe bet for what reads well in (American) English.