Yes, you need that adapter to bypass the headphone amplifier (internal), volume control and associated circuitry in the iPod and get a line-level audio signal directly to your amp.
The one you linked to is fine if the iPod and amp are going to be physically contiguous and oriented so the little pigtail wire is long enough to reach from the amp to the bottom of the iPod where the dock will be situated.
Otherwise, this is the more general solution...
http://www.amazon.co.uk/Micro-USB-Line-Out-Adapter/dp/B003PVSZ80/ref=sr_1_3?ie=UTF8&qid=1300211483&sr=1-3
providing a female 3.2mm minijack (and as a bonus, providing a mini-USB connector so you can charge and listen to your iPod simultaneously). The idea is to use a separate 3.2mm-to-3.2mm male-to-male patch cord (provided with the Pocketdock I linked to) of appropriate length to reach from iPod to amp is they are separately located.
Does that make any sense at all?
P.S. It is no supplied partly because they save a couple quid by leaving it out and partly because we have various preferences as to exactly what kind of dock and pigtail or patch cord we prefer. But you've got the basic setup correct. The iPod connnects to amp with a LOD and cable and the headphone plugs into the amp directly. Then it's just music to your ears!