I believe they are a good idea, as it helps reduce condensation build up. However I don't have one in my system, and haven't suffered unduly because of it. I do try and make sure I drain the tank from time to time, but really I guess it depends how much use it gets, i.e. duration of running.
In thery you ought to have a water separator too, if you had that you could at least remove the condensation that does occur as a result of having no cooler I can't imagine ARB use uses THAT much air, unlike say tyre inflation.
One writeup I read before I built my system, the chap had used a coil of copper located under the wing behind the headlight.