They are required by most local codes. Don't use oil-based compounds. Double-check to see that the type of gas you have is suited to the new heater. Allow the required clearances between the heater and combustible materials, according to the owner's manual for your new heater. Verify that the heater's combustion air needs will be met.
Some codes require a platform-even for electric heaters.
Be sure and check your local code requirements. Apply stick pipe dope sparingly to the male threads of the heater's flare adapter. Keep the dope away from the first two threads so it won't get into the gas line and foul the gas controls. Never test for gas leaks with a flame. If you discover any leaks, immediately turn off the gas and fix them.