I've been in touch with a member of staff in a department where I'm going to apply for a PhD, and they said I need my CV and the names and addresses of two referees, and they use these to shortlist applicants for interview. For some, but not all, applications in the past, I've had to enclose a covering letter. Do you think I should include one this time, or just supply the CV and referees' details as requested?

you might as well, its not going to do you any harm and if you have a basic template then it wont take long.

It might be worth asking them if you need one. But 'H' is right, it won't do you any harm to include one with your application.
Best wishes.