Yes. It is important to use the relevant weights in order to ensure the sample is representative of the general population, which takes into account the way the survey company generates the sample and the over-sampling of Scottish respondents in the online survey (for example).
Using SPSS: go to ‘Data’ in the menu, ‘Weight Cases’, then select ‘Weight cases by’ and select the weight variable from the left-hand variable list and click ‘ok’. The weighting will be shown as ‘Weight on’ in the bottom right hand corner of the Data Editor screen.
Using STATA: after your stata command include [iweight=W8_2].
More information on the weights provided and their recommended use is available in the documentation accompanying each dataset.