Underlay is a layer of #15lb tar paper (felt) or a layer of synthetic plastic underlay that covers the entire roof, from the point where the eave protection ends to the termination point at the ridge line or wall. Yes, you need to have underlay for a proper installation. Shingles are tested by the CSA with underlay in place. Additionally, it is recommended by manufacturers and you may void part of your warranty if you don’t use it. Shingle underlay is a second line of defence in the event of a shingle blow up, windblown rain under the lap of a shingle and weather protection during shingle installation.