They go between the processor card and the CPU card, I believe. These are used-at least on stock CPU cards-as support posts to keep the(spring loaded) screws from applying to much pressure on the CPU and pulling out of the socket or causing other more serious problems.
So, in general, they're pretty important.
With that said, I don't know anything about your particular CPU upgrade card-it may have its own support "legs" built in that serve the same purpose.