Having bought a Coleman Event Shelter, these seemed an obvious addition.
Of course, you end up buying 4, so it more or less doubles the cost, but it really does transform the usefulness of the shelter.
Of course, the shelter is great - and we put it over our garden furniture for most of the time, to provide much better shade than an umbrella. And whilst I wouldn't want to test the shelter to really extreme weather, the design definitely gives it a better chance of survival than most gazeboes.
The walls turn it into a sort of tent - and in turn give it more wind resistance, also they make the shelter usable even when the British weather tries to let you down with your barbeque plans! The doors can either be tied open, or removing them completely only takes a couple of minutes, so you can let in as much of the weather as you want.
Would recommend both the shelter and the sidewalls.
The one improvement I would like to see is with the shelter, and it would be easier to assemble if the velcro tabs which attach the cover to the frame were longer.