I use them, or spent cases in their place....opinions vary on whether dry fire is detrimental, but for .22's, unless the manuf. specifically states that dry fire is ok, I'd use one or at least a spent cartridge case to cushion the firing pin. Some makes of .22 will allow the nose of the firing pin to strike the barrel breach unless there is a cartridge or snap cap in place. Striking the barrel above the chamber, peens the edge and will eventually ruin both the barrel and pin.
You can make your own snap caps for center fire rounds by knocking out the primer and gluing a rubber eraser in it's place. They don't last forever but are easy to make replacements. I'm not familiar with Kel Tec pistols, but I'd say that a commercial snap cap or one the you make will suffice for protection of the firing pin, and would be ok for practice.
Best Regards, Rod
Our Flag does not fly because the wind blows against it,
It proudly waves because a soldier's dying breath blows upon it.
USAF Forward Air Controller, 5th Spl Forces,
An Loc, lll Corps, RVN, 69-70, Vietnam Vet '69-'73