Do I need to "protect" low voltage cables that are run through an insulated wall?
If your wall is closed up then you don't have to worry about it.  It looks like class 2 wire is rated to go into walls.  Only use wire that is rated to be in the walls for uses like what you have.  The only things to worry about with class 2 or class 3 wiring is:


Class 2/3 should never be used in the same electrical box (without a low voltage divider or in the same conduit with your house wiring.
Class 2/3 should be kept at least 10" away from house wiring. Try to run in a separate bay.
Remember when crossing house wiring with class 2/3 it should be at 90 degrees.


If your wall is open then if you can spare the money for ENT or smurf tube (bendable, corrugated, PVC that is usually blue) then that will give your wiring more protection.  It is sold in 10ft lengths or 100ft coils.  You can run low-voltage class 2/3 or regular house wiring, but not at the same time.  It will also give the transmission that is carried on the class 2/3 less interference when around house wiring.