I did it because the instructions from Australia said to - but there's a real advantage - the wax filters through the paper towel and there is some wax that soaks into the paper. When all is said and done, the paper towel is great for starting the smoker - I keep them in a plastic bag and use the wax infiltrated paper towel every time I start the smoker.
Another advantage of the paper towel is that it is recyclable and disposable - it's impossible to clean stockings, for example, which some people use for filters or other cloth - you have to throw it away after use.
Linda T in Atlanta