The close is necessary if you want to free up the resources right away. Without it, the process' resources are retained until the garbage collector kicks in. The close will force them to be released immediately.

Even better than using the close though would be to put the process in a using block (http://msdn.microsoft.com/en-us/library/htd05whh%28VS.80%29.aspx). That will ensure that its resources are released even if there is an error that prevents it from reaching the close and will handle the close for you.