If you do eventually require some form of sponsorship, you can say yes, but elaborate on your current situation (ie if you have OPT STEM let them know you have X years where you can work without sponsorship). This can really help your case if the company doesn’t actively sponsor candidates. If you’re filling out an online form, I would recommend saying “no” and then elaborating further into the process what your situation is re: OPT or otherwise. The exception is if you immediately need H1-B sponsorship, in which case you should mark “yes” to that question.
Hope this helps!