Long term, for doing any significant work on an MB, you are going to need a whole set of allen sockets. At the very least, you will want to have 5,6,7,and 8mm. That said, you can get by in this case with a set of regular 'L' shaped hex keys, which are very inexpensive, and easy to find. If you need more torque, you can add a small pipe, vise grips, adjustable wrench, or light hammer taps. Bet your rotors will use a 6mm, but I have a different model.
You will probably find that the replacement bolt already has threadlock on it. If you reuse an old one, a low-strength threadlock with a high heat rating is the ideal stuff you want here.
Realistically, this bolt is very unlikely to shake loose, however, and the residual threadlock is probably good enough (in my opinion, of course).
Of course, once the wheel is on, this bolt does nothing other than add some small amount of 'balancing ballast'. Otherwise, you could get by without it in a pinch.