It isn't always necessary. It is merely a word to add some emphasis to what you are saying but it is optional. I think you're awesome. I think that you're awesome. Same thing but using that give it a little spice rsrsrrs :P

Many times it is purely a matter of preference. He told me he would come back = He told me that he would come back. Both the above sentences are grammatically correct and understandable. It doesn't matter which one you use. The exception is when the sentence might be misunderstood. "The cat beside the man seemed friendly." Would be better as: "The cat that was beside the man seemed friendly." If you aren't sure, consider how a person reading the sentence would understand it. The only other rule I can think of is don't use two 'that's in a single sentence. The man that stopped said that he was going to Chicago. Better: The man that stopped said he was going to Chicago.