I don't think you necessarily have to see the movie of "39 Steps" before you see the play. The play is quite a faithful retelling of the movie, so while if you HAVE seen the movie it's fun to see how they retell it using only four characters, it's not like you will miss a lot.
What I would say is that if you haven't seen ANY Hitchcock movies, or aren't very familiar with Hitchcock even from just seeing film clips, you might want to see a couple before you go. The really fun parts, for me, were the ones where they made references to things in many Hitchcock films, in a very funny way. But again, it's not absolutely necessary. Most people are probably familiar enough with the iconic Hitchcock characters and scenes so that these references will be enjoyable.
I saw this with the original cast as well and thought it was great.
Maggie-the-schnoodle