It is not necessary to create a dedicated login page, although in some cases it may make for a good user experience. Whether you do or not is entirely up to you and the user experience you provide.
To create a dedicated login page, begin by creating a new page. Then in the body of the page, add the [wpmem_form login] shortcode.
You may wish to set the location of this page in the plugin’s settings, although this is optional.
For additional help, see How to Add a Shortcode.