Yes, you will need that cable in order to talk to the DSU. THe CSU/DSU will provide the signaling that the router wants to see to pull the line. With the loopback plug, you can bring it all the way up complete with the protocol.
The book I review I posted does have nice excerises for this. They show how to configure a Cisco router to be the frame switch and then tie a router off each serial port ( assuming 2 serial ports) They also have a CD with the configs ready to upload if you do not want to type it all in.
Mike S