What is a flue damper for and why do I need one ?

A damper is a cast iron plate with a spindle that you fit inside your first piece of flue pipe. It works as a butterfly valve

The more air that goes in a stove, and the more draw through the flue - the hotter it burns. A damper allows you to reduce the draw through the stove and therefore reduce the heat output.

It is not essential unless you wish to be able to achieve an overnight burn, but most people do find it a very worthwhile feature.