It depends on where you intend setting the trap.
Firstly, you will need a tunnel. Fenns by their very action 'throw' their victims upwards, and in order for the trap to kill effectively, a tunnel is needed. It is also a legal requirement (even in a loft).
Providing you make the tunnel natural looking and attractive, there is no need to use bait. Squirrels are inquisitive by nature and will investigate any new tunnel in their foraging area.
If you only have one trap, I would make several permanent tunnels, and move the trap about between them. You will be surprised how many fora