Engagement Session are not compulsory, but definitely recommended. They are a wonderful opportunity for us to get to know each other before your big day as well as being a good opportunity for you to both start to feel comfortable with someone taking photos of you. If done early enough they also give you some lovely photos to use on your save the date cards or even to print and frame so you can display one at the entrance to your reception. The Engagement Session Pricing page provides you with all the necessary pricing information, although if you have a current, deposited wedding locked in with me, then I offer a $100 discount off your engagement session.
Location wise, it is your call. It could be a place that means something to you (e.g. where your proposal happened) or it could just be a local park/beach, etc. that you like going to. I'm easy and enjoy the variety of locations that my couples choose.