You need to have one between each non-ADSL device and the telephone line. That means one plugged in behind each 'audio' device (phone, fax, analog modem, answering machine, whatever).
If you have a few devices on the same phone socket, you can protect both of them with a single filter, using double adaptors or similar approaches.
You can also choose a 'Central Filter/Splitter', which has three connections (one to Telstra, one to your ADSL device, and one to supply your non-ADSL devices). We highly recommend that you get one of these, they come in a 'wire it into your house roof' version, which is designed for a trained and licensed technician to install inside your house wiring so that the sockets around your house are all 'pre-filtered' and you don't need to have filters cluttering up your desks.
In summary:
Consequences of not using a line filter can include the following
Save us all time, service calls, and stress. Use the line filters. Really. And if you want to really have peace of mind, get a central splitter installed.