Hi Wjdan94, and welcome.
In this case it's not the LED (which can be easily replaced) that you need to protect.
It is the output of your Arduino pin.
An Arduino pin can be loaded with a maximum current of 40 mA.
You should stay away from that 40 mA or more to protect your Arduino, and the easiest way to do that is by a current limiting resistor.
A standard LED does not have any way of current limiting, so it will fail eventually.
But long before that will happen, the Arduino's pin will be dead.
By the way, an Arduino can not output the sum of it's maximum current per pin.
So if you have all pins connected to a LED, and want all of those LEDs to be lit simultaneous then you can't make a design that puts all LEDs on 40 mA.
Keep following those projects from the book.
And keep asking questions like this one if you have them.
You'll find out there's some better or easier ways of doing things.
But the book is composed this way so you will learn some basics too.
That way you will be able to do your own projects in the future.