I think adding the filter is a good idea. Maybe not a must do but I can't come up with any ideas on how it could hurt your trans but there are a few benefits it may add
You can get filter kits thru
Summit Racing Look under "Drivetrain" -then-> "Transmissions & Accessories" -then-> scroll for filter kits
There are a few different kits. I would say go for the Summit brand one if you just want the filter. Perma-cool makes one that comes with a temp gauge as well. A few guys here are running temp gauges on their trans.
I bought a perma cool kit that didn't come with the gauge and was priced a few bucks more than the Summit kit. It is the same thing for all intensive purposes.
You probably don't really need to change it every 3,000 miles. I do it for peice of mind. I figure if 5 bucks for the filter and a quart of tranny fluid makes me think it is helping then i am gonna do it. My logic is that the keys to tranny life are clean cool fluid. The coolers help on the temp and the aux filter helps with the clean. I simply take off the filter, fill the new one with new fluid and install it. then check the trans fluid level a few days later just to make sure everything is where it should be.
Like I said I don't beleive it is an absolute must do at 3,000 miles but it is so easy to do when I am under the truck, I just knock it out. And it is easier to keep it all on the same schedule.
The additon of the cooler and filter also increases your total fluid capacity helping the fluid life. They also sell extra capacity trans pans for some of the explorer trannys.