Yes a hat is essential, I try to wear long sleeves when I will be working with the plants in the light. The MH is so intense I try to go in when it's off but that cant happen every time. It will burn your skin & scalp working under your plants long. I just wear a ball cap and sunglasses anytime I will be in there for more than a minute, sleeves help too.
When I started, no precautions were taken. Even after a few months of going around the lights everyday, you start to feel the effects on the eyes. Then the skin and scalp start to tell you there's something. So do what you can to instill proper practices so it becomes regular to protect yourself. Then there is never an issue, when you always take Caution.