Just want to note that walls will also keep enemy spies or engineers from penetrating the structure. If the enemy launches a Super Weapon against your base, you could end up losing all your power in one hit. Needless to say, this would be devastating and leave you in a very vulnerable state. Instead keep your power spread out a bit. Finally, don't forget to build base defenses to combat both enemy ground and air units.
Air defenses are especially important in later game missions.
Always make sure your most valuable structures are covered by both air and ground defenses. The best place to learn is playing skirmish mode against the computer. If you like to use the Allies, also play with the Soviets so you can understand completely what each unit does and what its limitations are. A good commander knows his enemies capabilities as well as his own. The more you know about your opponents units, the better equipped you'll be to understand what you need to build to counter whatever units he uses against you.