mysql: SET NAMES utf8 on each connection?

I use the following statement on every PHP page to set the connection to Unicode:

mysql_query ('SET NAMES utf8');

Is there a way I can skip this? By setting something on the server? I have a VPS so I should be able to access anything.

I supposed the real question is: do I need to? Will it speed things up I skip this statement for every single HTML page that is delivered?