A sump gives you greater control over your reef or fish-only display tank. The benefits far exceed the risks, and thus most successful aquariums you'll see utilize a sump. Some even incorporate a refugium as well. Here are the numerous benefits derived from incorporating a sump into your current setup:
So how does it work specifically?
Water drains from the display tank into the sump container beneath. The water is pushed back up to the tank with a "return" pump, which is either submerged in the sump or run externally (which involves bulkheads and plumbing, but avoids adding as much heat to the water). As the water rises slowly in the display tank, it flows into the overflow box (or chamber), and this drains back into the sump. It is a constant cycle, and the goal is to pump as much as the tank can drain.