I’d say if you plan on using it any public places, or if you don’t have full control over all the computers/technology in your home network, it’s a good idea to run one. It’s a nice last resort should someone on the same lan have a piece of malicious software.
I’m also going to add that any online service you sign up for, always check through their privacy settings and make sure the options to not gather data are enabled. Another one is to check through settings for your ISP and cellular plans. Some collect various data to “enhance” services. Lastly I’ll mention that on mobile devices switch to a privacy oriented browser like the recommendations below, and use Progressive Web Apps instead of native apps. These will include the browser’s privacy protections by default.