C#: Do I need to dispose a BackgroundWorker created at runtime?

I typically have code like this on a form:

    private void PerformLongRunningOperation()
    {
        BackgroundWorker worker = new BackgroundWorker();

        worker.DoWork += delegate
        {
            // perform long running operation here
        };

        worker.RunWorkerAsync();
    }

This means that I don't dispose the BackgroundWorker, whereas if I had added it by the form designer then I think it would get disposed.

Will this cause any problems? Is it more correct to declare a module-level _saveWorker, and then call Dispose on it from the form's dispose method?