Nope , its not vital , and previous P45 , should have been given to your new employer , and so on , depending on how many employers / P45's you received in 2008.
You should enter all your 2008 employers on your tax return and if everything is in order , the tax office will have all the necessary info , including all tax paid by you in 2008 .
Paye tax returns should not be complicated , and indeed , it is not even necessary to fill in form 12 . Some people just send a note to tax office asking for a balancing statement , others just send in their P60 , while more complete form 12 . The choice is yours