Do I need a Masters before applying to a PhD program?

It depends on the other parts of your application. The "ideal" applicant has a very good undergrad and graduate GPA in relevant fields, high GMAT score, looks motivated and seems to understand what research is about (through the SOP), has published a paper or two in academic journals, and has good letters of recommendation from well-known professors in the field. I'm not sure about work experience; I guess it can play some role but it's really not that much.

Now, no PhD student I know had all that before applying, so don't worry. However, without knowing what the rest of your "package" looks like, I'd say a liberal arts major would raise a lot of questions about whether your math skills are sufficient for finance (which probably has the hardest math from all b-school fields). Getting a MS/MA in something related (Economics, Statistics, Finance) would be the best way to both 1) make sure you've got those math skills, and 2) signal to prospective faculty members (who'll evaluate your application) that you have those skills and that you can succeed at "quant heavy" graduate studies. An MBA would be better than your current undergrad degree, but wouldn't be as good as an MA in Economics or some Master's in quantitative/computational finance. Of course, should you ever change your mind about pursuing an academic career, an MBA might give you better outside options than an MA in Econ.

In all, finance is probably the most competitive field in b-schools. Thus I'd say if you want to have a good chance at a top school you probably need to signal that you are able to do math-intensive graduate work.