[morzh]

No, you can run it without load with no ill effects. You might be thinking of audio output transformer: when running a radio, you do want a load there. But the power one is fine. No load necessary: just bring the primary to the nominal voltage and watch the secondaries give you a proper output: I usually limit myself to watching the filament one (as I know what should be there) and then simply watch the high voltage go into the general vicinity of the expected value (the centertapped high voltage winding will give you something on the order 500-600V unloaded).
Keep it for a few minutes to see if anything heats up; that is usually sufficient.