You don't really have to...I know people that tie a cheese cloth at the end of their siffon tube...I just put the orange "cap" and try to be careful not to pull in any sediment...
Yep, I'm trying to avoid the lees when I move it to the carboy for secondary ferm. (Red wine juice, specifically zinfandel from a California winery, its not a kit but it did have sulfates and yeast in it already.