All PIAAs come with a fuse, says so right on their website, and it mentions the fuse in your installation instructions. You have nothing to worry about. I'm looking at a set of 510s right now and can clearly see the fuse holder with the fuse in it.

 

I had the same question when doing mine. I ended up using the M9 fuse opening (rear heated seats) and ran the wire to that. This way the t]light will onlt come on when the ignition is powered on. Can't run down the battery. I believe that you could just run it to the battery as well, but I chose not to do this.