Pedal installation requires that you tighten the pedals firmly. This is easier to achieve with the better mechanical advantage that a pedal wrench offers.
Most quality pedals use either a 6mm or 8mm wrench, please check which size suits your needs prior to purchase.
NOTA BENE! Remember when you are removing the left-side pedal that it has a reverse thread, therefore clockwise loosens it. The right pedal has a standard thread, so anti-clockwise to loosen. An easier way to remember which way to turn the wrench for either pedal is:
Turn the wrench towards the front of the bike to put on/tighten the pedal;
Turn the wrench towards the rear of the bike to loosen/take off the pedal.