Fuses are there to protect against catastrophic failure, usually shorts or near-shorts. You will also find that most toroids will have a thermal fuselink in the primary winding to protect against overheating. Once this goes you have to replace the toroid. It also means there's something serious wrong with either the toroid or the circuit attached to it.
To select an appropriate fuse for a small toroid, calculate the power required on the secondary side (you can measure or estimate this), add about 20% to account for transformer efficiency and divide this by your RMS mains voltage. Then select the next highest fuse value (0.5A, 1A, 2A etc). For a toroid use a slow-blow fuse. If you have large caps attached on the secondary after the rectifier you may need to increase the size of the fuse another step to account for large startup currents.