Answer
TFN Declarations do need to be completed by your employees, however, they do not need to be physically sent into the ATO any longer, since Single Touch Payroll reports all of the relevant tax coding to the ATO with each submission.
Make sure to configure the employee's tax settings in the program as per their TFN declaration, under Employees >> Tax Rates and this information will be reported along with Single Touch Payroll. You then keep the physical, paper copy of the TFN declaration in your own filing system for the required timeframe (generally 7 years), in case it is ever requested by the ATO.