I've installed NET:DNS, but do I need to put an option in local.cf in order for
SA to query RBLs ?.
No.
By default, SA will use RBLS provided that Net::DNS is installed and appears to be working (it tests with a quick DNS lookup of a major domain)
You only need to add an option if you want SA to skip RBL checks, or if you want to force SA to use RBLs without performing a trial lookup first.