Katherine, there's almost no difference to give a short answer. No sé and no lo sé are exactly the same in this case, example: What time do you think he will arrive? No sé / No lo sé.
But whenever you start an affirmation, then you use 'No sé', example: I don't know what time will he arrive -> No sé a que hora llegará.
(here we don't have the 'lo', which comes from 'saberlo', now the verb is just 'saber')
And, there could be situations what you will use 'No la sé'. For example if someone asks, literaly, if you know the answer (and answer in spanish is feminin). Sabes la respuesta? -> No, no la sé.
Best regards,
Alejo.
REF.: I'm a Certified Spanish Teacher.