No, you just need to copy the i386 (& sub folders) folder somewhere, then run "winnt.exe" from there. I think you can just run it without any parameters and it will ask you everything it needs.
You don't need to boot from CD. All you need is a bootable hard drive that goes to some sort of command line (Dos, Windows 95 or 98).
Also, if you follow the instructions at
http://www.thetechguide.com/articles/slipstream.html, you can "slipstream" (build in) any Service pack to your base install.