Definitely a must... shrimp are curious fellows, they love swimming into open filters! You can sometimes find sponge or mesh covers for filter inlets, but filter floss will work just as well.
If your other tank has good water, that's a great idea. I use water from my south american tank (which is quite soft, with a low pH) for my water changes on my shrimp tank. You just need to drip the water very very slowly to make sure the shrimp adjust well. That's a way that people can sometimes accidentally kill shrimplets.
Using the same gravel would be super good, to boost your beneficial bacteria.
That's going to give you a huge head start, good thinking. And your English is really good!
I think distilled water should be fine.