They are vital to do the program correctly. I just bought two baseball bat weights like these, they fit perfectly.
There are cheap alternatives to micro plates. I bought a couple 20 ounce bat weights on sale and they fit the bar perfectly. Others use weighted wristbands, lengths of chain, or they'll put a 2.5 lb plate on one side of the bar and swear they don't notice the imbalance.
I bought a couple of these:
http://www.amazon.com/dp/B0018BEGQE/ref=cm_sw_r_tw_dp_Pwtmwb02A3TN7
They're stated to be 1.25 pounds. I weighed them and they're close enough. Also, they fit snugly on an olympic barbell, so no worries of it falling off. A bit expensive, but easy to buy and use.
I just ordered a pair of these 20 oz bat weights from Amazon today for $7 each: https://www.amazon.com/dp/B0018BEGQE/ref=cm_sw_r_awd_DGngub1S0K9ND