It's really a personal choice depending on your level of risk acceptance. They've been direct-wired for years, and you'll hear very few problems people have had. You'll also hear from people who say you're crazy to not put something inline to prevent a short because if that large-diameter cable shorts to ground, it'll start a fire and burn your TJ to the ground. If you do decide not to direct-wire them, there are two ways to do it (plus a third - using both). For short-circuit protection, use a large fuse (ANL fuses and holders are arguably best, but Mega/AMG work, too - search the forum for those acronyms for more info). Instead of adding short-circuit protection, you can add a manual disconnect (just make sure it's rated for the high current) or a solenoid so that those wires are not energized until you energize the solenoid by flipping a "Arm the Winch" switch. That way, you can limit when you have power in the cables to when you're using the winch. The third option is to do both - use a fuse and a solenoid.
