That is correct. In the mains power world, we have 3 wires.
EQUIPMENT SAFETY GROUND/EARTH which is not used for anything ever (except during a fault condition, of course)...
HOT which is what humans consider the "source" of power... and
NEUTRAL which is what humans consider the "power return". Obviously, it's AC, which makes "source" vs "return" rather arbitrary. This can be said: the system has equipotential bonding that, in normal conditions, places neutral quite close to safety earth. That's why it's called neutral.
When you want to power something 24x7, it must be connected between HOT and NEUTRAL. If it is not, it won't have power. Since presumably you want the WiFi switch to respond to WiFi at all times, you need HOT and NEUTRAL to pull that off.
You may be thinking of early dimmers. Those place themselves in series with the light bulb, so they connect between ALWAYS-HOT and SWITCHED-HOT. When the bulb is on, they create a small voltage drop and power themselves that way. When the bulb is off, they leak a small amount of current through the bulb, which works great with incandescents, but badly with most LEDs. It's possible to build a smart switch this way, in which case it does not need neutral. However it is difficult to design, and doesn't play well with most LEDs and CFLs. This can be solved by using 1 incandescent, or by putting a capacitor in parallel with the light bulbs so some power can leak through 24x7.
A very small number of dimmers place themselves in series with the equipotential bonding that keeps neutral near ground. In short, they bootleg neutral off of ground, but do so in very controlled conditions that satisfy Underwriter's Laboratories that it won't be unsafe. Don't do this yourself, unless instructed to by this particular device's UL-approved labeling and instructions.
If you don't want to hunt down a compatible smart switch, you need to replace the entire cable between light switch and light, with a /3 cable (black red white +ground). Then you make black always-hot, red switched-hot, and white neutral, hooking each as appropriate to the smart switch and up in the lamp.
If it is simpler to run power from the service panel, then run a /2 cable from the service panel to the switch, feed the lamp from the switch, and cap off the supply hot+neutral going into the lamp. (or disconnect it from the lamp circuit in all respects).
If conduit is used with individual wires (THHN), and hot and switched-hot are already colored wires, then you can simply add a similar (THHN) white wire to the pipe.
Other than that, you cannot just run an individual wire. I gather you're a DC electronics guy? This is AC, and magnetic fields from AC have a serious kick. So currents must be equal in all cables or conduits so magnetic fields cancel each other out. Which means all related wires must be in the same cable.
You are allowed to run an individual safety ground (i.e. retrofit), because current does not flow over safety ground (except during a fault).
You can't run a tiny wire because we don't wire houses for ideal conditions, we wire them for fault conditions. Fault conditions call for a shorting smart switch that is flowing 50A through that 15A-rated wire. That 15A-rated wire will heat up at a predictable rate, and the breaker will thermal-trip before the wire heats up to a dangerous temperature. Now if your neutral wire is smaller, it will heat up faster.
That's why you would need to size the entire circuit's breaker for that smallest wire. They don't allow <15A circuits in houses because the incremental cost of copper for a larger wire becomes pretty marginal at that size. That, and economies of scale make #14 effectively as cheap as smaller sizes.