Secondary Fermentation

I want to try an oatmeal stout. It recommends a secondary fermentation. How important is this? I have never done a secondary one. What all do I need to do for it?

You don't really need to secondary. If you'd prefer to secondary to open up another primary, then you just need a carboy (glass or plastic), racking cane or auto-siphon, tubing, #7 drilled stopper, and an additional air lock if you're going to get something else into the now-available primary.

I have made an oatmeal stout with secondary and another without...they didn't seem any different to me.

Is the recipe recommending racking to a secondary fermenter for clarifying the beer (or for adding something like dry hopping) or is it recommending adding additional fermentables to the beer after the krausen has fallen?

If it's the former, racking to a secondary isn't that important. Many homebrewers don't bother as there's a greater risk for secondary infections or oxidizing the beer by racking to a secondary. If you were adding additional adjuncts, such as dry hopping, oak chips, fruit pies or some other additive, then you might want to use a secondary fermenter.

If the recipe is talking about adding an additional source of fermentable sugars, such as honey or corn sugar, then your beer will indeed go through a secondary fermentation step. For example, the clone of DFH 120 beer uses several additions of extra corn sugar over the period of about a month.

Good point, aiptasia. I didn't even think about secondary additions.