Basically, some like end papers, some don't. Many say that it does make the ends smoother, while others say shaking the excess water from the roller before rolling helps with frizzies. I personally don't have time for end papers when I'm using caruso's.
Some use setting lotion in the water for a better hold, I use mizani humidity resistant hairspray prior to inserting the rollers.
It's a matter of trail and error and what works best for you.