Ferrite cores come in both split and ring (toroid) styles.
Thry work by dissipating high frequency signals (noise) into heat (very very low levels)
They are used in many products, usually on cables and come in hundreds of different compositions, which work over different frequency ranges. They are inexpensive and you can find lots of information on the web/wiki.
They can be useful on long leads in an RC plane if you have certain conditions present or used on the throttle lead between an ESC (SBEC) and receiver port.
For the vast majority of cases, you shouldn't need them, but if you use them 'just because' they won't harm anything.