I like you am new to the KLR, but in the short time I've had it here's my take. Engine guards, radiator guards, and skid plates are a must, I know from experience the radiator guards are a must have. I dropped my bike last week and broke the radiator guard, I hate to think what would have happened to the radiator if not for the guard. I have also found the tank bag to be invalueble, again this is the first tank bag I've ever had. Right now I have a digital camera, rag, extra gloves, flashlight, multitool, locktite (blue), and a pair of clear night riding goggles in there. Without the bag I'd have no where to put that stuff. I got my bag at CycleGear for $19.00, it's called Trackside. You have to pull the top back to gas up, but for the convienence of having the bag its no trouble. The bag seems to be a good fit as it has not been in the way either in the dirt or on the street.
Good luck and enjoy your bike, after riding strictly street bikes for the last 20 years, I've found the KLR to be the perfect do it all bike, I do not regret getting of my Harleys to make the switch to the KLR, It's been a total blast to ride.