There really isn't a lot of use for heat-shrink tubing with Arduino projects.
I suppose that depends on the project. Or, maybe, how fond you are of excessive fiddling.
That's both ends of a DS18B20, on CAT5. I just like to have things nice and tidy. Also, I'll use it to color-code wires, as in this case, red = +V and black = GND. Also, all my wired-up sensors have a self-stick label on them, with the sensor address. Those aren't sticking quite so well, so I'll probably put clear heat-shrink over them.