Yes, you should be soaking him about 3 times a week to make sure he's staying hydrated. Fill a small tub or your bathtub with warm water (not hot) just enough for him to sit in. Let him rest in it for about 10-15 minutes...
Unfortunately your bearded dragon looks severely underweight. It could be a number of things, parasites, compaction, illness. I would take him to an exotics vet ASAP. Reptiles can decline quickly and this isn't something you want to leave alone if he isn't eating.
In the mean time you can soak...