Should I used a hyphen for "often-used" and "well-documented"?

Not sure what this is called, but I have seen the following phrases with and without hyphens:

The doctor performed a well-documented procedure.

Or:

He took an often-used road to the farm.

What are those 'contraptions' called, and should hyphens be used or do they go separate (well documented and often used)?

Both uses you've quoted should use a hyphen. You may see the same phrase without, as in "the procedure was well documented", where the hyphen isn't necessary. In both the examples you show, there's not much room for confusion without the hyphen, but in similar constructions there may be. Finally there is a difference between a hyphen and a dash (of which there are two main types and several uses). Here it is a hyphen that is required—which is the easy one to type in. For more detail see "dash" on Wikipedia.