There are some advantages to wearing a condom in a blowjob machine, but you definitely don't have to. Cleanup is minimal if a condom is used. In addition, if you are going to have to wear a condom in a partnered sex situation (and there are times when you do have to do that!), "practicing" with a condom in an oral sex machine will help you learn what, if anything, you need to adjust, to make your partnered sex sessions more fulfilling for both of you.