>I was wondering whether it is necessary to download kernel headers 
>for the kernel you are compiling.

in a word, no, you would already have them if you are compiling a kernel.

>Come to that - what are they actually used for? I thought I read
>that they are used for compiling applications 'against'. 

They are the c header files for the kernel, which define kernel functions,
macros and the like.  You don't compile user space applications against
kernel headers, they are only for things that run inside the kernel.  Say
you had a 3rd party kernel module (like the nvidia ones); it needs access to
the kernel headers to compile.  You need to use the headers that match the
kernel you are running.  Header packages are provided because they are much
smaller than downloading the entire kernel source when you just want to
compile an add-on module.

>Do they have to be in any particular place (e.g., if you were compiling
>a kernel in /usr/home/cm/linux-2.4.19 should you stick them in 
>/usr/home/cm? 

If you have the kernel source, then you already have the headers.  If you
extracted your kernel to /usr/home/cm/linux-2.4.19 they are in the include/
subdirectory.  If something you are compiling needs the kernel headers point
them to this directory.  

-i
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