VMWare

Is it necessary to have anti-virus software on any virtual machines?

Naa, a contaminated Virtual machine =/= contaminated system, as long as you don't keep important stuff on it it doesn't matter.

Yeah I'm just worried that if I accidentally test stuff on one of my virtual machines and get it infected, it might spread to my physical computer.

As long as they don't share folders/networks, you will be safe, all you have to do is delete the virtual machine =P. What happens in the sandbox, stays in the sandbox XD.