Mike,
I own the EFW2 and also Baader 1,25" LRGB, Ha, Hb, OIII, SII Filters.
I simply screwed them into their places and did not need any of these spacers; you will actually see this if the filter threads come out to much on the backside then you will perhaps need some spacers.
As the EFW2 actually offers enough room the spacer option is rather disregard-able..
The only think you have to be careful about is the motor tension. Usually you do not need to touch it until you will have big temperature deltas or the filter wheel rubber ring is getting older...