This is a legal requirement. If you're insured, you'll also need an accident report number from the police in order for the insurer to proceed. So, this is your next step.
You may encounter a guilty motorist offering to pay for the damages themselves, pleading with you to not involve the police. Perhaps they've been drinking, or they were playing with their phone while driving. The damages, also, may appear minor.
The other person involved could even be a sweet old granny, but don't listen to her, because she's a liar.
It's always possible to report the incident at the police station on the way home. So long as it is reported within 24 hours of the incident. This isn't recommended, though. Somebody may have been injured, killed, or government property may have been damaged, without your knowledge. So, regardless, and just to be on the safe side, report the accident to the police right away.
Bear in mind that you're not obligated to give the police any verbal statements if you don't want to. Many people, under these circumstances, would rather have a lawyer draw up an official statement. If you have nothing to worry about, however, and feel confident in what you have to say, then go right ahead.
Always request a full copy of the report. A police report is one of the most important pieces of evidence when insurers determine liability in the event of an accident. This is one of the main reasons why you need to stay at the scene; to make sure that the report corroborates your side of the story as well.