I've gotten sunburnt once wearing a sleeveless shirt while TIGing. Other than that, I wear a T-shirt or flannel, gloves, and work pants/shorts. I haven't had any problems doing it that way (when TIG welding). MIG's another story, and I have a few nice scars from it.
Clay I haven't used a Harbor Freight mask so I can't comment on that, but I will recommend a Hobart Hood as that's what I've used without fail since I started welding. They're cheap and carry a reputable name behind them. Mine's comfortable, shades well, and I would recommend one to anybody.