This is not required, just recommended if you want the smoothest gameplay experience. To maximize performance, both Skyrim: Special Edition and Living Skyrim should be installed on the same hard drive, ideally an SSD/NVMe.
If you are installing the list without Nexus Premium, expect the process to take a couple of days of 8+ hour sessions downloading mods. Download and installation times vary based on your computer and internet speeds, but expect the entire process to take a few hours. Installing to an SSD/NVMe is not required, but also highly recommended. Nexus Premium will cut your install time to a fraction of what it would be by automating both the mod download and mod install processes of installing the list.
Failure to heed warning blocks is cause for disaster. Warning blocks like this one will warn you when you absolutely must not forget to do something.