You're as protected during the placebo set of your pack as you are during the rest of your pack.
Meaning... nope. There's no need. How they work / how effective they are is not affected by when you're having sex / which pill you're taking. It isn't that you'er not protected suring the sugar set. It's that you're as protected as when you're on the hormone set... because of how the hormones work on your body all month long. As long as you're taking your pills every day, you're as protected.
To Know: The morning after pill messes with how effective your OTHER pills are for a few weeks. It's generally not a good idea to do a massive dose unless you're not on other hormonal birth control. It's GREAT when you're not on BC, or are on a non-hormonal type (condoms, diaphragms, etc.), but not so great when on the pill/ patch/ etc.
As an aside:
I'm the kind of person who got pregnant on birth control pills, condoms, and spermacide (He's now 10). I view birth control AS a prayer. "Please, God, I would really prefer not to get pregnant right now."