Students enter HGSE with a wide range of experience. Some students are coming straight from undergraduate programs. Others have twenty years of experience. An internship can be a helpful complement to your course work if you are just starting your career and would like to build your CV or if you are aiming to change your career and want to get a sense of a new field. This is a personal decision, and it is perfectly fine to focus on coursework and not take on an internship.
The HGSE Internship Information Center is a comprehensive site which explains the different types of internships and how to pursue them.