Yes, you need a fuse right off the battery. Genereally within 18" of the battery. Generally this fuse should be equal to or a little above the total of all the amps in the system. Your Sony has two 30 amp fuses. Any fuse from 60 to 100 amps would work fine for you. If you get that kit it will have a fuse holder and fuse included just for this purpose (ATC in-line fuse holder).
Heres the one that is included w/ the kit I believe:
http://www.scosche.com/efx/products/fuses/P8FH.asp
The purpose of this is to protect you if anything goes wrong. Thats why the closer the the battery the better (thats the within 18" part). Does it happen often if ever, no. I personally have never had a problem. But if you did it could save your car from an exploding battery, wiring meltdown, and the car catching on fire.
I did see it happen w/ my brother once. He put in his first stereo and routed in the power wire. Fired it all up and the system was just a bumpin (four JL 10" on a MTX amp). So then he goes for a cruise and go show it off. He pulls in the parkin lot and presses the e-brake pedal (truck was standard and needed to be running cause the amp used so much power). Well f course he wasn't so careful in the wire placement up under the dash. That brake pedal cut the wire casing and grounded it out quicker than he knew what happened. Nice big shower of sparks, it was scary. Thank god the fuse blew right away, shut the whole system down quick, and saved us. He felt like an ass and we were done for the night. Try finding a 60amp fuse 10PM at night in a small town.
Good luck.
I still say get that package. Its gots everything to do it right...... might even have directions.