We do. To find out more about the State Library’s passenger records start by having a look at our research guides available here: http://guides.sl.nsw.gov.au/passenger-records
You may also like to check out this link for more information about family history at the Library - http://www.sl.nsw.gov.au/services/family_history/index.html
We also have Tumblr dedicated to family history which you can also follow:
Best of luck with your research.