This is an essential part of your setup, and is necessary to froth milk satisfactorily. To froth milk correctly with your espresso machine, it's important to start with COLD milk, preferably in a cold metal pitcher to get the best results. Use the frothing wand to froth the milk for cappuccino, or to simply steam it for latte. You may want more than one pitcher to go with your espresso machine to accomodate different volumes. Keep the frothing pitchers chilled before use for best results.
The volumes given for our frothing pitchers are for the total capacity when the pitcher is "full." Since frothing milk should double its volume (read our frothing article by clicking here), and since you don't want the frother to be more than 2/3 full when you're done, the maximum amount of milk that you should use with your frothing pitcher is about 1/3 of the total volume. But if you are merely steaming milk, you can fill it a little more - to half its capacity.