I don't know about "necessity". Only that it was part of the Dorset culture for 2,000 years, and used by even earlier Arctic cultures.
A search for "dorset soapstone lamps" finds plenty of examples that lamps were used, and even pictures of the archeological finds of such lamps.
http://books.google.se/books?id=kGWuMa6sRYsC&pg=PA372... says "Winter light and heat were supplied by soapstone lamps ... The previous Dorset inhabitants of Arctic Canada had used soapstone lamps for some 2,000 years. ... Soapstone cooking pots ... "
http://books.google.se/books?id=iBCc5bQlP1wC&pg=PA179... has "The most conspicuous difference between Saqqaq and Dorset sites lies in the occurrence of fire-cracked rocks. These are common in Saqqaq sites ... During the Dorset culture, the heating of winter dwellings relied on the use of soapstone lamps."
(Note that "Saqqaq culture existed from around 2500 BCE until about 800 BCE", so is before Dorset, pushing back the use of fire even further.)
Or for a regular HTML link, http://www.thecanadianencyclopedia.com/articles/dorset-cultu... says "Dorset culture, 500 BC-1500 AD, is known archaeologically from most coastal regions of arctic Canada. The Dorset people were descended from Palaeoeskimos of the PRE-DORSET CULTURE. Compared to their ancestors, the Dorset people had a more successful economy and lived in more permanent houses built of snow and turf and heated with soapstone oil lamps."