If you plan on saving seeds then you will need bag the heads, or you will lose your seeds before they have a chance to ripen. I use just about anything I can find to protect the heads, such as old t-shirts, boxers (neighbors get a laugh at that), burlap, etc. You want something that will breathe, or the heads may mildew. It's a good idea to remove the bags if there is going to be a heavy rains, and put them back on after it ends. It's not totally squirrel proof though. One weekend I came back from a trip to find that the squirrels bit their way through a t-shirt and emptied the seed head. A few times I've had squirrels remove the flower, before it even flowered. If you protect all or most of the heads, you will probably recover the majority of the seeds, but you may lose a few heads to really determined squirrels.

Here is a link that might be useful: My sunflower website