I am more comfortable praying in my own home if I am wearing a head covering.
My prayer shawl was lost when I moved and I miss it, but I also haven't gotten another one.
Still, I miss it. I'd not make others uncomfortable with it though and wouldn't wear it to my Baptist church as it would just draw attention and that's the opposite of what I'd want, so I never wore one in a Baptist church and wouldn't. (but have in churches where it does not distract)
I don't think of it as a requirement though. Just my personal preference. And as long as I'm doing it, I don't get the tiny little ones. I wear a full one that actually covers my whole head and hair even if my hair is down, and since my hair is long, that's one long shawl. I started looking for one a couple months ago that was similar to what I lost, but looks like I'll have to order one online.
What kind of prayer shawl do you use Gina? All I can think of is the Jewish Tallit, but only men wear them. Apparently I'm ignorant of women's head coverings.