You do need a management console loaded somewhere, if only as a local management console on the firewall box itself. Although it is sometimes convenient to have a remote console, it's not required.
The earlier versions of Checkpoint installed a local management console by default on installation. I think NG still continues this practice. I not certain the local management console can be removed from a CheckPoint box. It wouldn't seem prudent to do so, in any case.
In practice, you will wind up doing a lot of your security configuration work directly on the CheckPoint box local console since a remote management console will not allow you to modify routing tables, or check OS event logs.
It would be a very bad idea to provide remote access via terminal services or 3rd party remote access software for these tasks. Follow instructions for pre-installation armoring of your operating system carefully before you install.
Good luck.