I use one on my setup with a plate chiller. It definitely helps to contain hop debris, helping to keep my plate chiller from clogging and less hop debris into the fermenter. I also use an inline filter from Brewers Hardware, but that's nothing I'd worry about unless you're going to use a plate chiller.
I don't think they're quite as necessary with immersion chillers. Are you just trying to keep some of the hop debris out of your fermenter? If so, there are a couple other things I'd recommend focusing on first, such as temperature control during fermentation.