My mossberg came without a heat shield... how important is one? I would think that as a new user that one would be recommended... but I don't really know a damn thing yet...
I wouldnt worry about it, its not neccessary. Just dont go grabbin the barrel after firing 8 rounds in rapid succession. Many never use a heatsheild, even 3 gunners.
As Brad stated you don't "need" a heat shield but a lot of us do have them on our shotguns for various reasons. viewtopic.php?f=22&t=1354 is a thread that discuss the use of a heat shield in greater detail.
I would go with a good pair of gloves if your shooting enough to get the barrel hot enough to burn.
I have also read quite a few complaints of the mossberg heat shield rattling.