Say the magic word

No, I suppose it isn't that type of wand, but it seems many people are confused as to when to use your wand and when to just say no. I have a shadow priest at level 63 and always upgrade my wand when I get the chance, but I never go out of my way to find a better one, they are usually quest rewards or random drops. I wouldn't recommend shopping for a wand until you hit the level cap, and then you really only need to buy one for the stats as the damage it produces probably won't help you out much compared to your spells. This isn't to say there aren't situations in which using your wand is a good idea, but there is no need to maximize your wand DPS.

As I said, there are situations where it is a good idea to use your wand, the big one being mana conservation, mainly while soloing. On my shadow priest I use this spell rotation for most one on one mob fights: power word: shield, shadow word: pain to pull, mind blast, starshards, then wand to death, or on harder mobs I throw in a vampiric touch before I start wanding for an extra DOT plus mana regen. Any shadow priests reading this might be asking where the mind flay is in that spell rotation, and while mind flay is good to use to burn down the mob faster, it also uses up more mana, and when I solo I don't want to ever have to eat or drink. That's right, I do carry some water in case I get adds or pull more than one mob and have to use more mana, but I can go all day if I get one mob pulls. In my opinion the extra time it takes to kill a mob by using the wand comes out to less downtime than having to replenish your mana after a couple fights. Sure spirit tap helps you out in getting some mana back, but not enough to be completely full before every fight if you're using too much mana each time.

Another big factor that plays into soloing is keeping your health up. For shadow priests it's sort of annoying switching out of shadow form every time you want to heal yourself. This is why I love power word: shield and imp pw:s. With the spell rotation stated above, even though I could find rotation that will DPS much faster if I wanted, mobs rarely break my shield, and even if they do they only get one or two hits in before they're dead.

Now just like there are times to use wands, there are also times when using a wand is not a good idea. This would be instances and PVP, where you want to kill your opponent fast, and who cares about what your mana looks like when you do. As far as shadow priests go, in an instance you want to keep up your DOTs and shadow damage debuffs and burn down the mobs as fast as you can without taking aggro from the tank, oh and keep up your vampiric spells to make the party love you. You don't really care as much about mana conservation because chances are you're not the only one who is going to need to drink after a fight, and since you'll have downtime anyway you may as well not worry about it. Power word: shield really isn't going to help you out, the mobs hit way too hard, and it causes so much threat there really isn't any point in using it except in extreme cases. If you're building up too much threat it's a good idea to stop spamming mind blast and mind flay for little while, but don't use your wand, just stop and get that threat down as fast as you can so you can start casting again, except don't let your debuffs run out with this break in casting, those should stay on at all times, especially if you have a warlock in the group, his shadow spells are doing more damage too.

On to PVP. Well, unless you can take out another player with a couple spells, fear kiting is the way to go. Load him up with DOTs, put up your shield, blast him a few times, but if your shield goes down you better be ready to fear them and get your distance so you can put your shield up again before they come back, which is why it's nice to have DOTs ticking while they run around helplessly. We also get a nice silence spell to use against casters in the shadow tree, especially useful against mages as they are pretty much useless without their spells. And never use your wand. Wands are part of the global cooldown, meaning you can wand away, but when you want to cast something else you have to stop wanding and let those 1.5 seconds finish before you can do anything again, and by then you could be dead, plus the wand doesn't do significant DPS compared to what you could be doing, and you have to be facing your enemy, which is hard to do against those melee classes that like to jump around you like idiots (rogues, I'm looking at you).

The moral of the story? Well it's a different story for mages, but for priests and warlocks I give wands the OK for soloing, or even group questing if you want (unless you're showing off how fast you can burn down a mob), but for instancing and PVP you carry the wand solely for the stats.