Please click here to read: "Choosing and Using Your Weapon". She covers answers to the questions, "with what", "when and where", and "how do I handle the reactions of others?" Also read her article: "Without Ceasing", for more on the "when" question. Good reading, and recommended highly.
The second article above includes these well written thoughts:
... Headcovering was made for women, not women for headcovering. The cover is more for us than it is for God. The cover is there for our encouragement. If you want to cover full time because it makes you happy, then I say, go for it! I honestly believe God gave us the covering as a way to be comforted. If you cover because you want to, then praise God! But if you cover because you feel you have to do it, or if you feel condemned for only doing it part of the time, this is not of God! The last thing He would want is for us to view it as a source of anxiety. The Lord reminds us in Romans 8:1 that there is no condemnation for those in Christ Jesus. In addition, we are told that fear is not from God (1 Timothy 1:7).
I will also share that my uncovered times give me a greater sense of appreciation for my covered times. There are times I'll be with a group of folks just fellowshipping when someone suddenly says, "Hey, why don't we take a moment and pray for Mary, for safe travels?" I will feel naked praying without the cover, but I know God doesn't honor my prayer any less. If it bothers me that much, I will carry a small scarf in my purse for such occasions, but unless I know I will be engaging in a time of planned prayer or worship, I do not worry about covering.
That Natural Girl" at blogspot, has also posted a short entry on "when" to cover. Please click here to read: "When do I cover?"
I think it is one of the most beautiful practices that we, as women, can do for God and for ourselves. I have found that it helps me to focus more on the Scriptures when I read them and it helps me to get into a sense of quietness. I love doing it. It blesses my heart!