Protect yourself from what, would be my question? There's a standard agreement in place for any active jobs, which protect the client and the freelancer, and make sure that people adhere by the rules of Upwork, agreeing to use the escrow facility, follow dispute resolution etc. That's your contract, unless you and the client sign a different contract. So I guess it depends what different or additional terms you want to stipulate.
Definitely worth speaking to the agency first though. Two different contracts that specify different terms could become very messy, and be unnecessary cause for client concern.