Big fan of the Azoom snap caps here. IMO they are an absolute MUST if you engage in a lot of dry fire practice. Take the time to scan the net and you'll find lots of complaints about pins that retain the firing pin in many semi's fracturing from unprotected dry firing. In addition, on a revolver the hammer gets a heck of a shock when it smacks into the frame, about 2 months back a poster had a hammer spur break off on his 686 due to an admitted extensive use of dry firing without snap caps.
As for the protection they provide, I've actually shot the rims off the snap caps in my 620. By my estimated it probably took about 500 hits to do that, however any hit strong enough to take the rim completely off a snap cap it strong enough to do some damage if a snap cap isn't used.