You should only really need to do this if you plan to run the emissions system on the EFI, such as the PCV valve and tube running from the oil fill neck to the throttle body. No harm in running this equipment, since it wont hurt power, but you may prefer to keep the valvecovers the way they are.
If you decide to do this, just make sure the only place air can escape through the valvecovers is the tube going to the throttle body. Then, you also want to run the PCV valve.
Eric