Stew's correct that it's more of a "just wanted to let you know you're screwed" switch, but I'd still run one (again YMMV) as low oil + high temps can mean a PSI < 10. Mind you, if you have an oil temp gauge that's also a good warning mechanism.
In my case I'm running the line up to an honest-to-goodness oil pressure sensor with a readout on my tach.
I went with this set-up because the honest-to-goodness oil pressure sensor is huge and ugly