Do you ever run any programs or games (or multiple applications at the same time) that might use up 4GB of memory? Keep in mind that Vista uses a LOT of memory just by itself.
If not, then you probably don't NEED to set up a swap file.
However, if you actually have a system with 4GB of memory, will reserving a couple gigabytes of space on your hard drive for a swap file even make a dent in the amount of storage space you have available?
Honestly, there's really no reason to not let Windows have access to a swap file unless you just want to feel "leet" and "stick it to the man" by running the system without one.