Some people argue that you must use snap caps when dry firing a gun. If it makes you feel better then spend the money on them but they are not necessary for modern firearms.

One of the few instances a snap cap is needed is in a rim fire gun where the firing pin can impact the edge of the breech face and dent it causing damage to the edge of the chamber.

Older firearms (pre 1900) with weaker steels will also benefit from the use of snap caps.