David,
The only time that you need to state the frequency is when you are calling FSS (that is here in the US). The reason is that the Flight Service Stations are monitoring various frequencies and they will only key up on the frequency that you called on.
As for calling Air Traffic Control you DO NOT need to state the frequency even though we monitor and transmit on various frequencies.
Take time and visit with some of your local controllers and ask them questions about phraselogy and how to initally call on frequency under various situations.
Mike
FWA