I'm using Ledger wallet, and it recently prompted me to migrate to new Segwit address type. If I want to use Segwit transactions from Armory, do I have to do something similar (I have installed bitcoin 0.15)?
You must use Armory 0.96.2 and be in expert mode. When you go to request new addresses, there will be an option for you to choose P2SH-P2WPKH addresses. When you send Bitcoin, you can also choose to make your change P2SH-P2WPKH.