Opening up my ¨Manual of Indulgences¨ book...
In short... no, you don´t have to go to confession every time you seek an indulgence for them as long as you hold no attachment even to least venial sin then you can gain a plenary indulgence for each work you do. Which is very hard to do for as the bible says... even the righteous mans falls into sin 7 times a day.
There are two ways to gain a ¨plenary indulgence¨ specifically for the souls in purgatory. From November 1st through the 8th, on each of these days you can gain a ¨plenary Indulgence¨ for the holy souls as long as you go to confession (but if you don´t have any attachment even to venial sin its not necessary), receive communion, do not have any attachment to sin (even venial sin), prayer for the Pope and do the prescribed work for which you are seeking the indulgence for the holy souls in purgatory.
You can also gain a plenary indulgence on All Souls Day if you visit a church or oratory and recite an Our Father and the Creed.
On any other day by just reciting the Eternal Rest
prayer you can gain innumerable ¨partial indulgences¨ for the holy souls in purgatory. This is the practice that I do most often for the holy souls and I try throughout the day (as long as I am in a state of grace) to repeat this prayer as many times as I can so that I can gain partial indulgences for them.
Here´s the prayer...
Eternal rest grant unto them, O Lord, and let the perpetual light shine upon them. May they rest in peace. Amen.
Hope this helps!