Yes, you need the SDK fron Sun. This way you can use whichever version of Java that you want with IntelliJ. 4.5 allows you to also use Tiger. It is pretty cool, I used it a lot last week with Tiger and it pretty much all worked. I can't remember exactly which had a problem, but I think it didn't recognize a correct auto-boxing being done, and showed the red mark for a compile issue, even though it compiles fine.
Good Luck and maybe I'll see you at the next JavaOne.