The fuse protects the wiring, not the component. As axaday found out, he was fortunate to already be on a fuse protected circuit, so a fuse there would have probably been redundant (depending on the gauge of his hookup wire).
There is really no end to the ways to build it incorrectly and you cannot defend against them all. Adding a transistor can go wrong, so adding a fuse is not a zero risk operation. The safest bet is to take your time and try and build it correctly, and take tons of continuity readings to make sure things are connected where they should be and not where they aren't, or at least make sure your injector/vss leads have at least 100kohms between them and ground/positive, and that there isn't a dead short from positive to ground anywhere before or after the regulator.
Actually, those might be a good couple "sanity checks" with an ohmeter that could be made into a wiki page that should improve your odds of not totally messing something up.
