Although not absolutely required, it's suggested you use one. It just keeps the wheel nut from falling completely off and having the steering wheel come off the shaft in your hands if driving down the road. There's a 79% chance of that retainer going missing when people do steering wheel/column work.
Should that ever happen, and I've personally never heard of that happening, you can just push the steering wheel away from you and get it back on the splines quickly.
The list price from GM is $4.31 each and as of last check, they're still showing available. They used to come in a bag of ten. Run away if you find those, because that's going to be $30 or more if you get a discount, for essentially 1 retainer you'll probably not lose again, and have a slew of leftovers.