Long answer: A break-out board goes between the parallel port and the motor drivers. You don't necessarily NEED one but it does make the connections much easier to setup and troubleshoot. Plus some of the BOB's have optical isolation between the outputs and your parallel port. This keeps the voltages isolated from the parallel port so hopefully there is less chance of anything killing the port. Most of the BOB's also have LED's for diagnostic purposes. Free plans are available on Pminmo's website. I can vouch for the 3 and 4 axis boards with and without isolation. They all work great.
Short answer: It's up to you.