You don't have to appoint someone-it's just what's often happened. Unless somethings changed since February (probably has!) the Governor doesn't have to appoint someone from the same party (I remember there was a controversy when Sawx gave an assembly seat up)
The law was changed this year, going back to the same-party appointment requirement. This has been ignored by various governors, but that's what current law says.
This is one of the many reasons I've proposed a bill to create a committee to look at and codify all election law into one act that we can easily find. It's hard to find on the wiki, if it's there at all, and also inconsistent in places.