I'd say this step is essential. Usually, the patch file modifying the existing game files is intercepted by the security software and the 'patched' file is broken due to the a/v software interfering with the patch.
Most firewalls don't, unless they're particularly "protective"--ZoneAlarm, for example is, or was, and required that several RoM-related .exe files be given not only local but net-wide permissions before ZA would allow them to operate normally. The same thing goes for some, but not all, anti-virus or anti-malware programs.
Contrary to what some people think, temporarily shutting down your a/v or a/m program will
not open your computer up to malware, as long as it is re-enabled after the patching process is complete.