Like what SarahM has mentioned, a visa label is not essential but I HIGHLY RECOMMEND getting it done. When you arrive in Australia there'll be many instances where they'll need you to prove your identity AND residency status. It is much easier to have a visa label and just showing it to them.
The other important factor is that if your name is not in the "right" order in your passport i.e. ______ Last/Family Name _____ , or any other combination where your Family Name is in front or in the middle, they need proof that your Last Name is correct. In my case, they used the visa label to verify the order of my name.
If you look at your visa label, at the bottom, it should be displayed as:
(random numbers)LASTNAME<<FIRSTNAME<OTHERNAMES
The two icons "<<" indicate to them that that is in fact your Last Name, even though other documents show different name orders. Believe it or not, it caused me great grief trying to prove my name order to various authorities as my last name was in the middle on all of my official documents, and ONLY the visa label could prove that.
I did my visa labelling at the OZ embassy in New Zealand. Documents that I brought along include passport and visa grant letter only. It is better if you contact your local embassy for more complete info. I believe you can also get the visa label via post, although it's quite risky sending your passport :S
