Absolutely! ASAP! Please see this answer from a priest at Catholic Answers when I asked that same question. http://forums.catholic.com/showthread.php?t=22511

It depends what you mean by "missing". Confession is required for the forgiveness of mortal sins. In order for a sin to be mortal, three conditions must be met: 1. The sin must involve grave matter. 2. You must have full knowledge that the act is sinful. 3. You must have full consent of the will. To attend Mass weekly is a requirement of the Third Commandment, so it is, indeed, grave matter. Secondly one knows that they are required to attend Mass each week. So it all comes down to the third requirement. If you "missed" Mass because your car broke down on your way to the last Mass of the day, then you did not miss Mass through the consent of you will. It therefore would not be mortally sinful and would not require a sacramental confession. Likewise if you were ill, or had to care for a ill person or a small child. On the other hand, if you miss Mass because you just don't feel like going, or because you were too hung over from partying the night before (at which point you made the conscious decision "I'd rather do this now even though I'm taking the risk that I won't wake up in time for Mass") or some other decision, then, yes, you most definately should attend the next available Mass and go to confession at the earliest opportunity.

Yes, and try not to miss in future.

It depends. Why did you miss Mass? If you were sick then you actually did well to stay home and not infect your fellow Christians. If you were in the hospital then you could not attend Mass. If you were in a place like Saudi Arabia then you probably could not find a Mass to attend. But if you were just lazy and did not go to Mass then you probably need to discuss the situation with God and your priest. With love in Christ.

Confession to me is for me to tell another person (I trust) what my sins are. This is not in any way to be confused with my time with God in prayer or for my forgivness. I have already asked for forgivness, and meant it. When I go to confession it is for my peace of mind, it is not left inside me to fester and become much bigger than it already is. When I say it outloud to my priest I am letting it out, letting it go. Then I can forgive myself.