Yes, you need to determine whether you have 38 or 40 mm pistons (or 36, which are less common). No matter what, the calipers need to match left/right, so unless you're replacing both calipers you need to be extra careful. I've always been of the general opinion that the later 940s (as in 1993-on) got 38mm in the sedans and 40mm in the wagons. Only a few months ago I was buying a caliper seal repair kit and needed to know the piston sizes. Eveyone kept talking about a 38 or 40 stamp, but I couldn't find it. I was just about ready to pull the caliper, but thanks to advice elsewhere I figured out where to look. Unless your caliper is horridly rusty, you should be able to spot the mark or at least a hint of one digit so that you can identify which of the three numbers it is.

First off, look for the raised "Ate" on the outer casting (ignore the raised G). Right next to that is raised cirular glat area about the size of a nickel. The 38 or 40 is stamped there. It's a very fine engraved stamp and not overly deep. My calipers were certainly rusty, but not heavily encrusted, and with a bit of effort I was able to spot the number.

Start by wire brushing the area clean (by hand or drill). Wet the surface with water or spit and see if you can now see it. Use a bright light, like a good LED flashlight. Normally you won't be able to see it yet, so take a flat file to the area (not a grinder). Keep wetting and checking as you go until you're down to shiny bare metal at which point you'll have to give up. It took me about three goes with a file and there it was plain as day after I wetted it.

Here's a really good pic from another site that helped me

Zoom in and stare hard at the circular area on the lower left and you'll see a fine 38. That's what you're looking for.

When all else fails, you will have to remove the caliper, pop off a dust cover and extend the piston a bit so you can check it properly with a measuring gauge. The difference between 38 and 40 isn't much, so trying to eyeball it with a straight edge ruler isn't good enough.
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Dave -still with 940's, prev 740/240/140/120 You'd think I'd have learned by now