You should have posted this in the Heating/AC section, you'd probably get more/better answers in there. Maybe a Mod can move it for you.
I believe you do need an air plenum on the return and most definetly need a filter. Now if it was the dead of winter in your house and it was the sole source of heat, I'd make an exception for the night while it got hooked up.
Not much things worse than losing your furnace in the dead of winter.