No, and you shouldn't have to do this either. When you install
applications on a Terminal Server, you first have to put the TS
into "install mode". Everything that is written to HK_CURRENT_USER
and HK_LOCAL_MACHINE during the installation is then saved into a
special "shadow area" of the registry.
When a user logs onto the TS afterwards, the information in the
shadow area is then copied to the users part of the registry
(HKCU). Ini files are copied to the users \window directory in
their home directory.
This is what the application compatibility code automatically does
on a TS.
Further reading:
186498 - Terminal Server Application Integration Information
http://support.microsoft.com/?kbid=186498