Yes, you have to use it to get a steady and tight wrap on your feet.
What you need to do is to continue (start from the left side) to the last hole but leave a little gap (let say you can put your finger in). Then continue with the right side, then the right side shoe lace, you put in the gap on the left, and the other way around.
That is a common technique that really snugs a shoe tightly and virtually locks the lace tightly. Depending on your foot and the shoe it may be uncomfortable. I don't use the technique with my baddy shoes but I do with a certain pair of work shoes.
I use this technique for tying all sports shoes, mainly because I have quite wide feet and benefit from keeping them tight at the top. Been using the loop lock lace method for approximately a year on badminton and running and haven't looked back.
It's right in that you can tie them up tighter and they lock in place (the loop acts as a sort of knot), but you can do them too tight and cause blood circulation loss in the feet, by first hand experience haha...
I came across them a while back, have a look and try some different types of lacing, they all work in different ways and have different benefits. Some are improved flexibility, but the main differences are how tight and how long they stay tight for.
This loop lock lace is also quite handy to shorten the knots on your laces (it uses an extra cross over compared to the standard lacing pattern!)