Underlayment for a roof valley? should I put underlayment?
You must install the shingles according to the manufacturer’s recommendations or you’ll void the warranty. 

GAF, just like all roofing manufacturers, recommend the “peel and stick” membrane to be applied first. There’s many reasons for this, but ice buildup and wind blown rain are the main reasons.

By the way, do not stop the underlayment 6” from the valley, as you describe. Extend the underlayment THROUGH the valley and weave it into the other side of the roof.