I'm a small footed rider, size 5 shoe, who loves her Speedplays and yes, you need to have the covers. I also learned the hard way, walked through mud and then couldn't clip back in. The covers also help for walking on linoleum floors, ie. restaurants. You also need to lube them about every 2 rides, although I can't say I follow this schedule, and occasionally have the LBS lube the pedals. I change cleats about 2,000 miles or when the springs look flat.

If you do get dirt in the cleats run a thin wire or a very small screwdriver between the cleat and it knocks the crud right out.

Btw, I use Sidi shoes and the Speedplay website has a list of recommended shoes.

If you install them yourself do not tighten the screws on the cleats to tight, you won't be able to clip in.