How important condoms are for sex toys depends on what a toy's made out of. Something like silicone can be cleaned thoroughly, so you wouldn't necessarily need to use a condom with it, but materials like "jelly" or hard plastic (often found in less expensive toys) can't be cleaned as well. In terms of alternatives to condoms, I don't know of a great one. Some people put small bullet vibes in latex gloves (or even cut fingers off of gloves and put them in, for very small ones) and while you could use a glove for a larger toy, the extra parts flopping around may make it uncomfortable to use. I know plastic wrap can be used in lieu of a dental dam, but I'm not sure I'd be comfortable recommending using it internally. It would be likely to break, too, since it isn't super strong when you take friction and pressure into account. Something like a ziplock bag has seams and poky corners that I think would be very uncomfortable!
What's your privacy situation like at home? If you have a room to yourself, are there places like a drawer under clothes or a box of old photos in the back of a closet that you could be reasonably sure no one would poke around in?
Do make sure you have plenty of a good, water-based lube on hand too, whatever option you go with.
I do want to say, too, that while you might find that dildos feel great, it's possible that you won't, or that you'll feel neutral about them, or that you'll take a while to warm up to them. I don't think there's any "should" here, although of course there's nothing wrong with giving them a try. I just don't want you to come at this with the expectation that you need to feel a certain way about using a dildo.