A sponge filter is not a necessity. I've simply used a sponge pre-filter (like these), which goes over the intake of most filters, or else attached something like a tetra poly bio bag over the intake. I've raised thousands of fry of various species without sponge filters this way.
As for protecting or retrieving fry if or when the parents can't handle it, there are some options. For some species I've created a tangle of rocks and/or driftwood for fry to hide in and around. Or you could divide the tank to keep potential fry feeders at bay. You can catch the holding parent and 'strip' eggs or fry, not usually my first option, since it's stressful on the parent fish (though they typically recover without much worry), or if I do it it's when the fry are well along and need to go into a growout tank. To catch a hard to catch parent and/or fry, what I've done is use something that would work as a tank divider, these days I typically use one of those expandable window screens, and use it to shepherd the fish or fry I want to isolate into one end of the tank, sometimes during a water change when the water level is low, to make them easier to catch without having to chase them around the tank. This also works if the fry have a hiding place at one end of the tank and they're beginning to get too brave and venture out where other fish are getting at them-- you just divide them off, remove the rocks, etc. and net them out.
Some of it is how many fry you want to save and raise, whether most or all of them or just a few. One thing about it, once they start producing fry, you're likely to have an ongoing supply.
