I got a masonite panel at my local art store, do I have to prime/gesso it or can I just paint directly on it?

Any wood product needs to be primed If you want the paint to stick and not peel or flake later. As a framer I have seen plenty of paintings where the bond failed between the paint and the board due to lack of proper priming. Artist that claim it is okay not to prime haven't seen the consequences. Just about any good wood primer will work. Don't forget to prime the edges to seal them for added protection from moisture.

I know that gesso is a good primer for canvas though. Give it a try! I think spray primer might be too thin.

clean it first

You can paint directly onto the masonite. Lots of artists use gesso because they prefer the texture. And for lighter portions of the painting, it may take more patience to cover the dark surface of masonite than it would gesso. I usually decide whether or not to gesso based on what I'll be painting. If it's going to be a darker piece, I'll forgo the gesso. But if it's a landscape with lots of sky, I generally use gesso so I'm starting with a white surface.