No, you do not need to finish the application in one sitting. You can save your progress at any time by clicking "Save & Continue" at the bottom of each page. You can then return to the application whenever you have time. If you encounter a question, you're unsure about, you can skip ahead by selecting another section from the application menu and continue. Your Admissions Representative is there to provide assistance throughout the process.
Screenshot of the MyJobCorps application, highlighting the option to skip sections