That's right - the general idea is to only put Munchkin on pages for which it's valuable to know your leads are visiting - for example, product pages, pricing, pages where they might click a link to download something relevant, etc. This is primarily to prevent a ton of useless anonymous leads from being created (for example, people who only visited your homepage from a search engine and never went anywhere else).
The code I posted above will not cookie ANY anonymous leads. That should only be used if you don't want anonymous leads at all. This is a separate idea from limiting the number of pages you put the code on. To use the regular code (cookies anonymous leads) just copy what it provides at Admin > Munchkin.