Well if you believe you have an algorithmic penalty then I'd say yes. Otherwise a proactive disavow is controversial but generally seems to be thought to be fine. Of course it can effect rankings so you need to vet the links carefully. It is also possible that although you don't have a manual penalty now, you might in the future. So it is a good practice to keep the records of the removal request emails in case you will have to respond to a manual penalty. There are some great tools out there to help like RMOOV which I have used successfully.
But I'd get on that disavow quickly if I were suffering from a Penguin thing since an update could come soon.
Also it's important to know if the links were paid for or the results of a previous "SEO" company. In that case I would definitely want to keep a record of the removal emails, just in case.
Best