Question on OEM exhaust

I bought a stock exhaust system and am putting it back on my WRX. There is a gasket that goes between the silencer and the header, right where it clamps together. I don't have that piece. The dealership can order it but it will take 7-10 days.

Do I really need that gasket?

Yes. Otherwise you will have a 2-3mm gap per side and a big exhaust leak. (and through experience, aluminum tape wrapped super tight doesn't work)

What about some steel wool rigged to fit the gap? At least until the gasket comes?

Thanks for the help. I found another dealer in my area that had one in stock.