With LO#1, we didn't use one until he was around a year old- at that point he became a very active sleeper and would wake himself up thrashing into the bars. He was old enough to not suffocate but young enough to still be in a crib and when we put them in his crib, it was like a revelation. His wake up time moved from 6:30 to 8:30 starting on night number one.
That being said, I wouldn't NOT buy a set because it comes with a bumper- you may find that it comes in handy later when it is more safe. However, I would never use one in a teeny baby's crib because of the risk of suffocation.