catkin_make install is described here: http://wiki.ros.org/catkin/Tutorials/using_a_workspace#Installing_Packages
It is used to produce an "installed" version of one or more packages. When you are developing, you can use the devel space, so you do not need to run it every time. install is used when you are going to distribute your package for others to use, especially if you plan on creating binary packages. If your package is solely for you to use, then you can ignore install and probably be happy. If you want others to use your package, you should add installation directives to your CMakeLists.txt files and ensure that catkin_make install produces a correct install space. This will allow others to actually install your package to their system rather than having to clone the source into every workspace they want to use it in.