an English question

Not necessary. In fact it works correctly both ways! Like again, I'd say that if you're involved with some real, hardcore, formal, official English I'd suggest you to go with 'ask for a small favor' because, 'ask a small favor' sounds slangish or verbal sometimes. I'll give you a similar example. It's similar to the use of 'that' in the following: "She said I was right" can also be written as: "She said that I was right" ( But please note that 'that' here is supposedly a pronoun and for in your eg. is a preposition. So lay stress on how they sound. And they sound perfect in both cases!)

in proper english,you might want to add it,but in everyday usage it's really not necessary.

There could be, but it isn't necessary, especially as it is a quote of someone talking.