No, they do not
It lasts quite a bit, with a smaller 1.5 20v max I'd say about 1-2 hours straight if you never turn it off easy. It heats up fast though I should be more prudent about turning it on and off and have it last longer.
You can buy extra batteries here: http://www.homedepot.com/p/BLACK-DECKER-20-Volt-Max-Lithium-Ion-Battery-LBXR20/203615440 Do note that this glue gun is a tool-only option. If you don't have any Black and Decker 20V batteries or a charger, it will be more cost effective to buy as a kit, rather than separately. The kit can be found here: http://www.homedepot.com/p/BLACK-DECKER-20-Volt-Cordless-Glue-Gun-Kit-0270/300386111