Winter'21 Release - BEM Notation Change

If you're still using the outdated Static Resource approach, you don't need to make any changes until/unless you move to the current version (recommended). If you do use the current version of SLDS (force:slds,<apex:slds/>,placing components directly in Lightning App Builder, etc), you need to fix the styles before the Summer '21 Release. Using VS Code with the Salesforce DX Bundle, you'll automatically get code fix prompts on files that need to be updated; they'll appear as blue underlines in your source code.

If you use standard components for styles, such as lightning:input or lightning:layout, you don't need to make any changes unless you are also using the class attribute on those components, and those styles are SLDS styles. Standard components have already been updated to use the latest styles.

If you don't directly use SLDS classes, you won't need to make any changes.

Should all the code where SLDS with this notation be changed?

If you're still using the double-dash versions, you need to fix them. We've been given ample time to fix this, but time is running out. Now is the time to address those styles before they no longer work in about 6-9 months.