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If the threads are NPT, you probably should. Most modern water cooling companies use fittings with some kind of O-ring sealing the threads, but it can't hurt if you want a little extra piece of mind. Just don't let any little bits get into your loop, it won't be the end of the world, but you'll end up with a little bit of gunk lodged somewhere in your loop.
Not really needed until its plastic barbs like someone mentioned. Only other possibility is when the threading doesn't match up perfectly like Swiftech's insistence to not use BSPP.