Answering my own question here...
Looking at available schematics (Real McTube, Hoffman Amps, etc), looks like none of them use fuses.
Then I found this quote from Fred Nachbaur:
"If you want to improve your odds, you can put a 1/16 Ampere fuse in series with the AC input. Since these transformers are designed to self-destruct under fault conditions, the fuse isn't needed for safety reasons, but might well save you a transformer if you make a wiring error."
Thanks Fred (RIP)