The default package is the package where Java classes, interfaces, and other top-level types (such as enums) are stored when the source file in which the type is declared does not contain a package statement, such as package foo;.
Unlike small toy (and throwaway) programs, a large application's top-level types should be stored in packages to organize them and prevent name conflicts with another application's top-level types.
Eclipse is basically warning you that you have not specified a package in which to store your application's top-level types.
So, as long as I am toying around, learning and testing I could probably not do much harm if I ignore the warning.
When I develop my real application (which is hopefully not going to be very big) I could risk a name conflict, but only if there are other applications around. I guess these other applications has to import classes from my application before that becomes an issue?