Yes, you should call interrupt() to let the calling code know that the thread has been interrupted. If you don't do it, since the InterruptedException clears it, the calling code will have no way to know about the interruption and won't stop running although it should.
Let me quote Java Concurrency in Practice:
Restore the interrupt. Sometimes you cannot throw InterruptedException, for instance when your code is part of a Runnable. In these situations, you must catch InterruptedException and restore the interrupted status by calling interrupt on the current thread, so that code higher up the call stack can see that an interrupt was issued,
as demonstrated in Listing 5.10.
public class TaskRunnable implements Runnable {
BlockingQueue<Task> queue;
...
public void run() {
try {
processTask(queue.take());
} catch (InterruptedException e) {
// restore interrupted status
Thread.currentThread().interrupt();
}
}
}