Just a simple wrap will do. Don t wrap them too tight. Remember they will get tighter when you descend as the knee bends. Then after your set, you will need to unwrap them. They also help to warm up the joint in the process.
Some people like to put a plate under their heels, to take stress of the knees.
I have not heard anything good about doing that. I always use a weight belt to help protect my back on these. I hope that you do the same. This is the machine that attracts the most idiots. I see too many people hurting themselves on this machine.