Only when there's light shining on the front of your lens.
The only reason we use a shade is to keep (usually) sunlight off the front lens element to prevent flare from happening. But it can also happen with any kind of light shining into or into your lens.
They're normally used outdoors, by everyone from photojournalists to landscape photogs. If you're not having problems with flare, I wouldn't look at one yet. Ball caps or your hands casting a shadow onto your lens is a good trick when doing tripod work.
With regards to their size, many lenses now come with one that reverses and screws into the lens backwards so it is not an extra thing to carry around. Also, you can buy collapsable rubber ones.
Definitely a good investment in the long run, but buy it as you need it.
Rick