You should wear full safety pads every time you go skating. Make sure you have a complete set, i.e. Elbows, knees and most important wrists. All need to be protected. Some skate groups think it is not cool to wear pads and you may come under pressure to conform. Don't remove pads just to meet peer pressure, this can lead to damage of the knee, wrist and elbow joints that can prove particularly troublesome later in life. This is very often disregarded by younger skaters.
Falls can occur here is some helpful advice on how to deal with them.
The primary function of wrist guards is to stop you scraping you're hands if you suffer a fall. In most situations your hands are outstretched in front of you when you fall forwards, so much like the job knee and elbow pads do, landing on tough bits of plastic is much preferable to the gravel rash you'll get with bare hands.
Despite the name, wrist guards are not designed to protect your wrists from impact injuries. They may help a little to protect you from the jarring sensation that is often a result of a fall backwards, but wearing protection helps remove the fear of a fall forwards which is how all new skaters are taught to fall if they lose their balance.
PROTECTIVE SHORTS / CRASH PADS / IMPACT SHORTS
This is one piece of safety equipment that is often overlooked. Some skaters refuse to wear them for no apparent reason, despite them being very popular amongst skiers and snowboarders. They protect the hips and tailbone in the event of a fall. TrySkating recommends wearing protective shorts (crash pants) to avoid unnecessary injury.