well, i currently don't bother. i did at the time of the picture because i wanted to make sure i would be able to catch any carbon/GFO dust/fines. however, i never really saw much of any accumulation. it makes sense to put the return pipe into a filter sock for a day or two, maybe, just so that you can be sure the GFO is fully "rinsed" of dust that the sponge won't capture.
however, note that this would not be the case if you are using a single reactor for both carbon and gfo. assuming you mean running gfo/carbon in the same part of the chamber (as opposed to separated out with sponges, which might be a smart alternative!), gfo is harder than carbon, and the tumbling of one against the other will definitely create carbon fines. in that case, i would absolutely say you should run the return into a filter sock or something to capture the fines that will otherwise be released back into your tank. that being said, i don't know if the typical 200micron filter sock would even catch the fines, so you might want to look into that. HLLE has been attributed to carbon fines by some authors.
note that, you CAN use a single BRS reactor for carbon and GFO, but you are risking a couple things doing that.