Yes, you need to first drain the system, at least to a point lower than the baseboard units you will be replacing. You would probably be better to unsolder the existing baseboards because if you cut the piping then it may be too short to solder the new ones in place. After replacing the units you would then refill the system and bleed the air.
Why do you want to replace your baseboard convectors? If it is purely for aesthetic reasons you might prefer to just replace the housings. It is a bit of work depending on how the originals are fastened in place (nails instead of screws) but it is probably cheaper and easier than replacing the plumbing parts also. You can buy just the housings.