For java, you don't need to.
eg: "^(.*)/\\*LOG:(\\d+)\\*/(.*)$" ==> ^(.*)/\*LOG:(\d+)\*/(.*)$
If you put \ in front of /. IDE will tell you "Redundant Character Escape "\/" in ReGex"
If the delimiter is /, you will need to escape.
If you are using C#, you do not need to escape it.
Here are a few options:
In Perl, you can choose alternate delimiters. You're not confined to m//. You could choose another, such as m{}. Then escaping isn't necessary. As a matter of fact, Damian Conway in "Perl Best Practices" asserts that m{} is the only alternate delimiter that ought to be used, and this is reinforced by Perl::Critic (on CPAN). While you can get away with using a variety of alternate delimiter characters, // and {} seem to be the clearest to decipher later on. However, if either of those choices result in too much escaping, choose whichever one lends itself best to legibility. Common examples are m(...), m[...], and m!...!.
In cases where you either cannot or prefer not to use alternate delimiters, you can escape the forward slashes with a backslash: m/\/[^/]+$/ for example (using an alternate delimiter that could become m{/[^/]+$}, which may read more clearly). Escaping the slash with a backslash is common enough to have earned a name and a wikipedia page: Leaning Toothpick Syndrome. In regular expressions where there's just a single instance, escaping a slash might not rise to the level of being considered a hindrance to legibility, but if it starts to get out of hand, and if your language permits alternate delimiters as Perl does, that would be the preferred solution.
Use the backslash \ or choose a different delimiter, ie m#.\d# instead of /.\d/
"In Perl, you can change the / regular expression delimiter to almost any other special character if you preceed it with the letter m (for match);"
Source: Stackoverflow.com