Do I have to build the whole engine from scratch in game dev tycoon every time I add a feature?

Yes, you do have to create a whole new engine if you want to use a new feature.

When creating engines with new features, you have two options:

  1. Frequently create small engines, with just a few features each. Use those engines for just a few games, and then make a new engine. This is more expensive.
  2. Infrequently create large engines, with all of your features. Use those engines repeatedly. Note that the review scores your games get are based on how much better they are than your previous game, so you should expect your review scores to drop after a while if you keep using the exact same features from the same engine for too long. Don't use every feature in your first game; instead, add a feature or two with every game you make, so that each game you make is better than the previous game. Try to keep enough money around so that you can build a new engine – otherwise, you can end up with an obsolete game engine and not enough money to make a new engine.