yes you should go and pick up a copy of ME1 you can get it for $19.99 at most retail stores. I don't know if you heard but ME3 is greatly effected due to how you played ME1 and is a little effect of how you played ME2 so
if you just keep your ME2 import and then played ME3 your really getting left out.
Hey OP, I did the same exact thing also. Started on ME2 and then went to ME1. But after I finished ME1, I took that character and am now playing him through on ME2. Definitely the way to go and you will also get some extra life out of ME2 to boot.