Under-Dash Lighting

There are two answers to your question.  Yes and  No.

Unless you hook your power wire up directly to the battery you don't technically need a fuse, however it is a VERY good idea to add one.  All the power wires found in the vehicle will be fused already, so you can rely on the OEM fuses.  However, if you have a 60A fuse on your power wire, and your neon transfomer starts to fail and pulls 25A the fuse won't blow, but the wire will most likely catch on fire and burn your car.

So, you don't need a fuse, but fuses are there to protect your CAR and not necesarrily the device you are hooking up. 

Also, if you size your fuse smaller then the fuse that protects your 12vdc source then you won't have to worry as much about blowing OEM fuses if your wiring faults. 

Well, the load of the wire isn't important when the wire you added gets shorted to ground.  At that point, the wire will draw as much current as is availible from the battery (800 amps or so in normal cases).  Like I said, the fuse is there to protect the car, not the device at the end of the wire.

Is there a reason you don't want to use a fuse?

Good advice!