I have a skin on my Kindle just to make it pretty and personalized but that doesn't give it any protection. I keep the Kindle inside a leather case from Oberon Design, which basically keeps the dust off, makes it look nice, and protects it from light bumps. It's not waterproof or anything (also not lighted) so I still wouldn't take it to the beach but it works for my purposes.
If you want more protection than a leather cover can provide you might think about a plastic, lighted case. You can also get waterproof cases.
I haven't done sleeves or bags yet, mostly because I just haven't gotten around to trying them. Also, I'm kinda reluctant to cover up my pretty skin and cover.
Good luck with whatever you decide.