Well, it is not a question of “have to”. Holy water is a sacramental, meaning that it is a blessed element God has given to us through the Church to assist us. Holy water is used for baptism and various liturgies, for blessing people and objects as well as for exorcism.
The practice of blessing ourselves with holy water, especially in coming in or leaving from a church, is to remind ourselves that I am a Christian, I belong to God, and that I’m committing to live as a Christian should.
It is a great practice. It is not strictly mandatory. But it certainly helps me a lot. When I come into a church and sign myself with holy water, I am reminded that God is here, I’m his. I am drawn more readily to surrender to God and to enter deeper into prayer.
When I leave a church, signing myself with holy water, I’m reminded that God is with me, and I’m bringing Jesus to others. I feel more strengthened to take on God’s mission, to bear witness to Him and to be ready to serve.
And you asked what prayer to say when blessing ourselves with holy water? Best and simplest is to make the sign of the cross over yourself and say, In the name of the Father, and of the Son and of the Holy Spirit. Amen.