Just a couple of things:
1: Your FIRST fixture(the one you don't use the DMX IN connection) needs to be your master while the rest MUST be set as slaves. It has to be that way. It can't be in the middle, it has to be at the begginning of the chain. So, do pay attention to how you're connecting these toegether, as it does make a lot of difference.
Related note: ADJ puts recommendations as to how many slave units you can hang off one master. This number varies by model, so do read the manual to get those numbers. Worse case is too many slaves and unpredictable operation but no damage.
2: While Jingles recommends standard XLR microphone cables, which will work, it's a better idea to use DMX cables. If you're just doing short runs, you're probably best off just using relatively short XLR microphone cables(say, 10 feet or less). I admit to running DMX-512 down 200-feet of XLR cable(single run) and then patching INTO that run from the controller to a an XLR to 1/4" TRS cable into a patch panel, that then went down that 200' run, which then went onto at least another 100' of XLR microphone cable, and didn't have any issues. I did this for 2 years, and never once had an issue, even without a DMX terminator. I however DO NOT recommend you replicate this.
3: A DMX terminator is never a bad thing, but it is generally recomended for any runs totalling more than a combined 100' of cabling when using DMX signalling. I have not seen any recommendations or requirements for a DMX terminator in a master/slave configuration though, so I'm going to suspect that it's not necessary. It shouldn't hurt. They are cheap to make provided you don't lose them. They are also a good thing to have in the tool box. When you get ready to use DMX, you're already prepared.