You can also accelerate heading changes by simultaneously rolling and pitching the aircraft. Yaw is a bit more confusing. The rudders on the plane control the trailing edge of the vertical tail fin, and this causes the plane to yaw. In real planes, foot pedals control rudders. Unless you have a pedal system with your computer, you likely will use another control to handle rudders.
Most popular joysticks have a twist feature, intended for rudder control.
Using yaw, you can pivot your aircraft without changing the aircraft's direction. This is helpful especially during landings and take offs when slight changes need to be made to the aircraft's heading. If you apply full rudder or apply too much rudder at high speeds, you'll cause your aircraft to sort of spiral turn downward. Using a plane's rudders can make things a little easier if you know what you're doing. If you don't want to use them, it's not really going to hurt your flying.