You do not need to obtain documents confirming your right of residence in the UK if you are a family member of an EEA national.
However, you may be inconvenienced if you do not obtain this confirmation, as:
you may have difficulty proving that you are lawfully resident in the UK;
if you leave the UK, you will usually need to obtain an EEA family permit before returning here, in order to guarantee readmission as the family member of a qualified EEA national; and
you may find it difficult to obtain or change employment.
http://www.ukba.homeoffice.gov.uk/eucit ... ts-family/