Five year old has cavity in a baby tooth; should we fill it or not?

More than likely . Baby teeth 'hold space' for the adult teeth. If a cavity is untreated in a baby tooth for an extended period of time, the space for the adult tooth may be lost (in addition to the potential for pain/swelling/infection). Thereby crowding the adult teeth. But, if a baby tooth is about to be lost, then a filling will not be necessary. Check with your dentist.
Consult dentist. This should definitely be checked out by your child's dentist. It may depend on the location and size of the cavity, and whether your child is having any symptoms from it. It's important to keep baby teeth healthy, even though they will eventually fall out. If a cavity progresses it can cause a dangerous infection so make sure to see a dentist about this.