Yes, it's imperative to build a credit history. The easiest way to do this, especially in your situation, is to open a credit card and pay the balance IN FULL each month. DO NOT EVER MISS A PAYMENT. This doesn't mean pay the minimum amount. This doesn't mean, pay a little this month and a little next month. PAY ALL OF IT. If you can master this simple concept, you will (sadly) be light years ahead of many many people.
There are many student cards that have no annual fees, albeit, with a very low credit limit. In other words, you won't be able to use it for all your expenses, but it's still something. When you get the card, put it on automatic payments so the balance gets paid automatically from your bank account at the end of the billing cycle.
When I was 18, I got a card and made a couple purchases a month. I had a credit limit of $200, so I just used it to buy gas.
I put it on automatic payments and treated it like a debit card in a way. In a couple years, I started receiving offers from much better cards that had more perks and higher limits.
People that talk bad about credit cards are people that don't use them properly. They think of them as free money and are usually piss poor with their other financials. Use them efficiently, and they will be your best friend.
Some perks include purchase protection, roadside assistance, airline perks (like free bags and access to airport lounges), airline miles, promotional discounts and coupons, etc.
I usually just stick to cash back cards. I currently have a card that pays me 1.5% cashback. Meaning, for every $100 I spend, they give me $1.50 back. I like it for its simplicity, but there are other cards that offer more rewards.
Go to r/CreditCards and see what type of card they recommend for you.
Within a few years, my credit went from empty to outstanding. I don't take out much other credit, but I recently financed a car only because they gave me an absurdly low rate that I couldn't pass it up. (I got that rate because of my high credit score).
The credit score is also important outside of trying to secure additional credit. Your credit history is typically a part of a standard background check conducted by employers, landlords, etc.