You definitely don't have to go to the dealer.
Yes you must order the key thought the dealer but once you have it you can program it yourself.
I only got one key with my car when I bought it so the dealer ordered another one up and posted it to me.
I then mentioned on here I was going to the dealer to get the key re-programmed and someone told me to do this and it worked no probs.
Again my dealer had no clue you could do this yourself and no doubt would have charged me for the job as the car was bought from another dealer.
I also found out on here that you can program the car to open both doors and boot lid with one press of the key fob rather than the two when I got the car.
It just shows you what a great place this is.