Do you have to burp your baby if they fall asleep during a feeding?

My baby is 3.5 weeks old and I always always always burp her any time she eats.. but here lately shes been falling asleep during her feedings and if i try to burp her while shes asleep she wakes up and i have a hard time getting her back to sleep... do you have to wake them up to burp them if they fall asleep? and at what age is it ok to quit burping them all together? And any suggestions on how to burp while they are sleeping without waking them up?