I would never recommend wiring anything without some sort of fuse. If it does not take too much in the way of amperage draw, then you can wire it to the fuse box, but you have to wire it to the fused side, not the battery side of the fuse. You can also wire it up to an accessory (again....if it does not draw too much amperage)....an accessory like the cigarette lighter or something like that. To do this, all you need is a t-tap (made by 3M, and called T-tap), and a male speaker terminal. You then crimp the t-tap on the wire that provides a constant 12 V to what ever accessory you decide to use,. Then crimp the male speaker terminal to the wire that provides the 12 V to the neons and you are set.
The constant 12 V source is good IF you want to have them on when you are not in the car......like at a show or sumfin. I would also recommend wiring it up to a switch too.
Hope that helps.