As a domain owner, the last thing you want is someone to spoof your domain and send out spam in your name. SPF records help prevent that. What you do is set up a TXT record that will go in your DNS record. This is not as intimidating as it sounds. You can go to OpenSPF, which is a free site. There, you will be walked through the process of setting up an SPF record based on your site’s needs.
Once your SPF record is set up, you simply go into the DNS settings of your Cpanel account, and add a record. Cpanel makes it easy to go step by step and do this. Once you have added the TXT record, major e-mail providers and Internet Service Providers will check your DNS record to ensure that the e-mail is legitimate. If it is not, the message will either be flagged as spam, or rejected, based upon the preferences you set.
The advantage of this is simple: you’ll be making it more difficult for spammers to send out e-mail in your name, which could cause problems for you later on down the road. In the end, however, it all comes down to the headers.
If you truly didn’t send the spam, it will reflect as much in the headers. Still, the end user likely doesn’t know the difference, and by taking a few moments to set up an SPF record, you save hassle for everyone: end users, and yourself.