Yes, you are going to need to use hairspray, unless maybe you only use something like Dermmatch, and just paint your scalp. But with fibers, definitely. No matter what any fiber-based concealer company says - and they all say that you don't have to - you are going to need to use hairspray.
Pros are that hairspray does a good job of keeping your fibers in place and also your hair so that it doesn't move and mess up your work with the fibers.
Cons are that... well, that you have to use hairspray to keep the fibers from falling out in your day to day life. Other cons are that if you get a smelly hairspray that lingers it can be irritating. I use Nexxus Maximum hold hairspray, and it does a good job, is not too smelly, and doesn't tend to get crusty like some others I have used, which is another con of using hairspray. You also want a hairspray which doesn't make your hair a hard helmet where you can't pull a comb through it if you have to fix something after you have put your concealer in. The one I use is pretty good with that, too. Just make sure it is dry before you try that.