I messed up big. Blizzard has permanently banned my World of Warcraft account and I was wondering if they are supposed to give a warning before permanently banning an account?

Oh no! Not good at all. It is never a good day to have your account banned. Blizzard does usually seem to give out warnings for lower end Terms of Service (TOS) violations but of course they do not HAVE to give a warning and they won't if you commited a HUGE mistake.

Sometimes it really depends on if the Game Master (GM) that is doing the banning is having a good day or not and how severe your "mistake" is. Here is a tidbit from the Blizzard TOS for World of Warcraft:

Blizzard’s Absolute Right to Suspend, Terminate and/or Delete the Account. BLIZZARD MAY SUSPEND, TERMINATE, MODIFY, OR DELETE THE ACCOUNT AT ANY TIME WITH ANY REASON OR NO REASON, WITH OR WITHOUT NOTICE. For purposes of explanation and not limitation, most account suspensions, terminations and/or deletions are the result of violations of this Terms of Use or the EULA.

Of course with that said even commiting a small little violation can actually get your account banned. Bottom line is just to be careful out there and if you are about to do something that you are unsure of ingame it would probably be best to not do it.