My best advice to you would be to figure out how you're going to be tuned first. AP, e-tune, Pro-Tune, because each method of tuning will have different answers.
AP - Follow Cobb's map notes at to what products they support
E-tune - Once you shop around and pick an e-tuner, you need to ask them what products they support/recommend.
Pro-Tune - Meet with your tuner and discuss your plans/goals for the car and they will suggest what parts will be best for you to use with their tune.
To answer your questions though, the AP isn't a "necessity" unless you plan on tuning with the AP. As for increased fuel consumption, more so than not, you will notice a slight loss in mpgs when modded, but your right foot is your best way to get the most out of your mpgs.