you should put one in close to the battery. Purpose is so that if the wire gets cut or ends up rubbing too much on a sharp metal corner and it shorts out -- you'll just pop the fuse and that will be the end of that, rather than screwing up the battery or much, much worse. (Disco Infernooooooo!)

You can get them at any car audio store or online. hell, i even have an extra one i bought just in case. No sense to leave out the inexpensive safety equipment!