No, you do not use a wad, just the powder and ball. Ideally you lubricate the bullet.
Lubricating Cap and Ball Revolver Cartridges
When you buy rolling paper, look for a brand named "Raw", it's supposedly natural and doesn't have anything added to slow the burning.* Also check out Duelist1954 on youtube for some other videos on rolling your own (
https://www.youtube.com/results?search_query=Duelist1954+paper+cartridges) as well as reliability mods. There are also videos on nitrating the paper. I did it once but didn't really notice a difference, especially for putting in any extra work; I'm guessing the paper gets ruptured when you ram it all down. DukeFrazierProductions and Guns of the west are a couple of other good BP shooting channels.
Paper cartridges are neat to make, but they take time and, in my opinion, leave the powder more exposed to absorb moisture. If I were going to carry a Colt BP revolver for social work then yes, I'd carry a cartridge box (or better yet, a Remington with a loaded spare cylinder), but for occasional shooting I'm just too lazy. I do not bother to slather grease or anything else over the loaded chambers either (I do use a wad when loading directly into the cylinder), Colt never recommended it in their manuals nor is it visible in the cylinders of any old pictures of loaded revolver pictures that you see. As long as you're shaving lead it's not a problem- make sure that your caps fit snugly and are properly pressed on though! Note that Ubertis will usually take a conical out the box while the Piettas and others may need to be modified, ex.
Modifying the 1860 Army for Paper Cartridges
Try various powder charges; a few grains can make a noticeable difference in accuracy with BP guns.
* Funny side note, I went into a local smoke/head shop and was looking at papers. When I told the guy I wanted something with no additive that would burn quicker he asked if I was shooting black powder. I admitted that I was and it turned out he was a BP shooter as well and he recommended the Raw brand and we talked BP guns for a bit.