It is entirely up to you whether you wear a thigh pad.
But if you've ever been hit in the thigh by a quick delivery, you'll know it's not the greatest feeling in the world.
The thigh pad is a lightweight piece of protection which is worn on the outside of the thigh closest to the bowler.
Two straps, one around the waist, and one around the inner thigh, hold the guard in place.
Some batsmen also wear a second, smaller, thigh pad on the inner thigh of their back leg.