Its no different than a non-VPS setup. You can have swap or not.
Most VPS providers I've seen have the swap space set at a set level, according to the plan you purchase. There are a few who allow you to control your partition sizes through their control panel. (ProVPS.com comes to mind).
I would not advice you to create a swap FILE. If one day your partition becomes read-only, then your swap file will become read-only as well, and then your VPS will simply crash...
Anyway, if your VPS uses a lot of swap space, then that means you need more memory allocated, and that's it. That being said, many things can go to swap without too much problems.
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Always create a swap, just like on a dedicated server swap is there for multiple reasons. First off swap is important because it allows the kernel to send unused pages of memory to swap so that a running program that needs the memory can use it, this especially important on a VPS with minimal ram. A sleeping app doesn't need to consume precious memory. The second reason is that swap acts as a buffer, allowing your system to run in what i will call a degraded state if you suddenly run out of Ram rather than allowing the mission critical apps to be killed.