I'm no expert, but I think with anything over 5mW you should have some safety glasses. You only have your one pair of eyes, better to be safe than sorry.
You need goggles that are red in color. If you plan on getting more powerful lasers in the future (like 100mW+) and have the spare cash, I would DEFINITELY recommend buying certified laser protection goggles. You can search the forums for sellers, or buy from somewhere like here.
If you don't plan on getting very powerful lasers soon, or don't have a lot of money right now, you can decide on a cheaper pair, like the $8 focalprice ones; I did a fairly extensive review of this pair recent, see the review link in my signature if you want more info