Re Ironic in that, At my kickboxing club none of us wear them for training but we do in competitions, At my Muay Thai club every one seems to wear them for training but obviously not for fights hehe. I find them a complete pain in the backside to be honest, but I completely see the sense in them.
It's optional in our club, although the instructor insists that "newbies" wear headgear. Personally I find them irritating. Looking at a video of myself in the National Champs, I spend half my time adjusting the bloody thing because the slightest bit of sweat and it moves around blocking my peripheral vision. Obviously I see the sense in using them, but they're still annoying. (It's the T Sport one I wear - PKA requirement apparently) http://www.martialartshop.co.uk/Tsport_martial_art_equipment.htm
Gaz your head guard could be to big if it moves around a lot. I always wear head guard sparring kickboxing but we don't have any protection when we spar with sticks, just control (Gaz look out for some changes at club)
The T-sport dipped foam ones are pretty crap to be honest.. any sweat and they slip around, wether or not they are the wrong size. Best thing you can do is get a Top Ten one. Those things are awesome.
.... I agree that headgear can be very annoying , but there have been times i was very glad to have it on ...and yeah , i would say it's a real good idea especially if you're allowed to sweep or do takedowns while sparring ....I ended up buying some boxing headgear as I find it stays where it's supposed to better than the foam-type m.a.gear ...it's very adjustable and wasn't overly pricey , either .