Using a different gauge of strings may be an eye opener for those of you who have been using the same gauge for a while: Going up in gauge you may find your sound will be tighter and fuller bodied. Going down in gauge may get you a more twangier and less stiffer sound.
When you change the gauge of your strings do you need to set-up the guitar accordingly to this new set of strings? Ideally yes, but if you are going up just one number in gauge, for example from 0.10s to 0.11s, you can just try changing the strings, see what it sounds like and leave it like that. Readjust set-up only if you are experiencing very different action and intonation.
If your guitar was set up correctly, going up one gauge will not change it that drastically. Just try to see how it feels.
Enjoy, and hope to catch you soon again.