No you dont.
Your Iphone has WAY too much of your personal information and family's information to risk it falling off during a fight or a chase and winding up in the hands of the bad guys.
Keep the phone in the car.
On the 28th of september, my phone fell off my belt and was picked up by some d-bag. I called it, sent texts to it, even pinged its location, and they wouldn't respond to my requests to give the phone back. I had a lot of info on that phone, not just my immediate family's but my parents, sisters, brother in laws, nieces, mother/father in laws etc. Email addresses, work phone numbers, all of it now in someone elses hands. I called the police, but there was little they could do.
My phone stays in my pocket now, not on my belt.
I disagree that keeping your phone in the car is the best option. Sometimes you need it on your person, and mine rarely is missing from my front left pocket. I keep my iPhone in a silicone case made by incipio, but Otterbox makes some very robust cases with belt clips. I have many friends hat have gone this route with success.
Just remember to put a lock code on your phone and invest in some of the better GPS locator software that will allow you to find or wipe a lost phone.
What if you need to call 911 and your phone is in the car?
Outdoor Hub mobile, the outdoor information engine
I have the silicone case for my new Droid 3 that replaced the stolen phone, and it grips the inside of your pocket like a pocket holster.
As far as lock codes and all that, it is easily, I mean easily bypassed. Like a padlock on a bicycle, they're meant to keep honest thieves out, not determined ones.
I hate cell phones, I wish I didn't need one.