Do you complete a masters in law before a PhD?

Check with individual PhD programmes. I expect most would probably want some masters degree beforehand to showcase your ability to undertake extended research at the postgraduate level - especially as you indicated in your other thread you didn't write a dissertation in your undergrad degree. It needn't necessarily be an LLM depending on what particular area you want to work on in your PhD; if you wanted to do socio-legal research any number of social science masters programmes might be very relevant, if you wanted to do work on jurisprudence and the philosophy of law then a masters in philosophy and/or political theory might be relevant, if you wanted to apply particular frameworks to your legal research then other masters may be relevant (e.g. if you wanted to work on aspects of gender in law then a masters in gender studies might be very relevant). An LLM (or the BCL, Oxford's equivalent) where you can do a research project/dissertation would be suitable for many fields as well though. If the LLM is purely "taught" and has no research elements (e.g. thesis/project/dissertation) then it might not be so suitable for PhD preparation.