Up to you, but while you've got everything apart and the vehicle is already off-road, it seems to me to be the prudent time to add a cooler.
@carnut222 mentioned how hot the B21FT got, well, consider the B21ET (no cat in the engine bay) also got oil cooling from factory, and 99% of them were sold in the cooler northern hemisphere. The factory must have been concerned enough about oil sludge leading to warranty claims, in order to equip them with cooling.
Then again, my approach to such things is to be "anti-Colin Chapman" - to over-spec and under-stress components as much as the rules and practicality allow, so things are less likely to break.
Sandwich plates for oil to air coolers tend to have an in-built thermostat, which opens up the oil flow through the cooler when the oil gets too hot. This ensures the oil isn't so well cooled that it never gets warm enough to burn off deposits from normal engine operation.
Depending on your year model of 940 donor car, it will either have air-oil (up to 91) or coolant connection (92 on). The extension arm ("adapter" in the parts book) is the same, but the sandwich plate is different for each.
