No! Listening to the soothing and pleasant sounds of Nature in an organically “right for you” way, is the correct way to go.
You can sit in the traditional lotus, recline on a sofa, walk, or do yoga, if you like.
Your eyes can be open, or closed. Whatever feels right for you on any given day, is right for you! The flexibility of not being tied down to headphones makes for an awesome meditation experience.