The purpose of the mesh laundry bag is to protect knits from getting caught, pulled, stretched, or otherwise damaged by either other garments or by the washing machine itself (i.e. the agitating blades and so on).
I always wash my knitted garments on cold, delicate, in a mesh bag. I just think it prolongs the life of the item and the bags themselves aren't exactly expensive or hard to use.
If you're washing a bunch of sweaters at once, I don't think you need a mesh bag for each sweater, but it's probably best to keep it to 2-3 sweaters per bag.
I bought mine at Target. They were in among the other laundry stuff (ironing boards, laundry hampers, etc.) and are Tide brand. They cost something like $4 each.
You can get similar stuff online or at bed and bath stores. Just make sure you get the sweater-sized variety. A lot of really small ones are made for women's bras/underwear, which are too small to wash any normal-sized garment in.