I converted an ATX power supply to bench power supply lately. It was the second build.
I installed 250V@2A fuses for 5V and 12V, 250V@1A fuses for 3.3V and -12V. The fuses current rating is far below than maximum current of three powers, i.e. maximum current of 12V is 15A.
Do I need to replace fuses with the matching currents to protect the power supply in case of overloading?
You can safely use a fuse with an amperage rating lower than the power supply rating. When a fuse blows, it simply "opens" the circuit so that no current flows. If you exceed 2 amps through your 2A fuse, the fuse will blow but nothing else "bad" will happen.
In general, you want to use a fuse with a (at least) slightly higher rating than your expected current. (If you are expecting 1A under normal operation, you can use a fuse rated at 1.5 or 2 amps.)
However the voltage rating is simply a maximum rating, and you can use a fuse with any voltage rating greater than the applied voltage. i.e. If you use a 250V fuse in a 600V circuit, it will work fine 'till it blows. When it blows with excessive voltage applied, it can possibly arc and current will continue to flow.
On a bench supply, it's a good idea to use "slo-blo" fuses, since a capacitive load can draw high-current for a short period of time (and the filter capacitor inside the power supply can usually supply a short burst of current safely).
Or if you buy a bench supply, it usually has built-in "electronic" current-limiting so that you don't need output fuses. There might be a fuse in the AC input side to prevent a fire in case of a power supply failure.
to protect the power supply in case of overloading
An ATX power supply can look after itself. It will have a current limit built in.
What you need to protect is the circuit you connect it to. Fuses are very poor at this sort of thing.