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Should i do that every time for every new website i create?
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Yes, as long as you want to target a non SQL Server Express edition.
You could mess with machine.config but I don't recommend that.
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What impact does it have?
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It changes your application from non-working to working ;-)
In the machine.config, there's a LocalSqlServer connection string that points to .\SqlExpress. This is used by default for stuff like Membership. By overriding or changing the connection string, you simply point the application to a different database. You'll probably need to do the same again when you deploy the application.
VWD 2010 has made this a little easier and now includes the connection strings in web.config when you create a new site, making this a little more transparent and easier to configure.
Cheers,
Imar