Benjamin Mayo, 9to5Mac:

As part of Quick Start, you can now Transfer Your Data directly, without requiring to use iCloud or an iTunes backup. The iPhone defaults to using local WiFi, but you can transfer wired using the USB3 Camera Adapter and a Lightning cable.

Even though you don’t need it if you’re going direct from device to device, I say make a backup before you do the transfer anyway. It’s just a smart habit.