My camping buddies had the mud daubers build a nest in their motorhome's furnace. They took it to Camping World, and supposedly they cleaned them out. First night they had to use the heater, the MH started to smell, and the CO alram went off. An RV tech down the road came, and had to completley pull the heater out of the MH to get to all the nests. Fortuneatly, CW refunded my friend her money, since they didn't do the job right. But, ask yourself if you want to have your heater pulled out for nothing other than to have mud dauber nests cleaned out, when you could have just used that $10 screen. I have them on my furnace and water heater. Probably should put them on the fridge too, but those covers are easy to get off and inspect for nests.
Oh, and in addition to not using regular screen door type screen or fiberglass screen, do not use sun screen. :-)