If you ever worried about the security of your device, even once, if you have more than one Apple device, if you have both work and personal services attached to a device, set this up.
I was initially hesitant to do this, because I had previously set this up on my Google account and eventually turned it off, which was more of a mess than turning it on. You had application specific passwords, keycodes, confirmation emails, and you had to jump through hoops to access their settings, which were, for lack of a better word, byzantine. It was like CSS had never been invented.
This is device level security, not account level. Someone tries to access your account, which has your money attached to it, on a new device, they hit a wall. Once you enable it on your phone, you never need to fuss with it again, and you don't interact with it at all, unless someone grabs it from you, in which case you get Find-my-iPhone-times-10 level security. Jump on it.