I travelled to the USA and Dubai for a period of 6 weeks in January 2014, whilst at the check-in counter in Texas I was questioned about the lack of a visa label on my passport. Fortunately I had a copy of the letter sent to me by the immigration when my PR was granted.
I agree with Petar, it can be risky and I am planning on getting a label in my passport in the coming week. This apparently costs AUD 70.
http://www.immi.gov.au/Help/Pages/fees-charges/visa.aspx