@eskawho, is right... Babies skin are so sensitive and there's chemicals in new clothes, from the color dyes to the chemicals the spray on them to keep them neat. I used the brand All Free and Clear, WAY cheaper than Dreft and other baby detergents and it's for sensitive skins.
Yes wash everything the baby will use...before they ship to the store they spray some kind of chemical on them to keep them looking nice that could have a reaction to baby's skin.