Throughout my experience in YGO I've dueled many people on DN who don't have side decks. This includes testees and people I duel in matches. A few years back when I was an inexperienced duelist, I too did not have a side deck mainly because I never really knew what it was for (that and I was lazy).
A side deck can consist of 0 to 15 cards and is separate from the Main deck. Any card can be put in the side deck and having a side deck is not mandatory.
If you play in singles often then you probably wouldn't need a side deck although major tournaments duels are often matches. A match is a best-of-three set of duels (http://yugioh.wikia.com/wiki/Match)
Once a game/duel has ended in a match you may start side-decking/siding. The content of your main deck and extra deck can be altered by swapping cards in the side deck.
Now that raises a question
"
Why do I need a side deck?"
Suppose in your deck you ran Bottomless Trap Hole
- BOTTOMLESS TRAP HOLE EFFECT:
When your opponent Summons a monster(s) with 1500 or more ATK: Destroy that monster(s) with 1500 or more ATK, and if you do, banish it instead of sending it to the Graveyard.
BTH (Bottomless Trap Hole) destroys monsters with 1500 or more attack but what if your opponent's deck consists of monsters with attack that is less than 1500? BTH would be completely useless. A way to get rid of BTH from your main deck and swap it with a useful card which would be a better match-up against your opponents deck would be by
siding.
To make it short siding is used to swap out cards that are completely useless against your opponents deck and replace it with ones that work better. You may only swap cards if you have at least one card in your side deck.
Now this raises another question
"
What cards should I put in my side deck?"
Since you don't really know what kind of deck/cards your opponent would be running then putting different kinds of cards in your side deck that counter different kinds of decks would be a smart move. Nowadays duelists usually run meta decks like Tellarknight, Shaddolls, Lightsworn etc. Common cards that you would want in your side deck would be Light-Imprisoning Mirror and Shadow-Imprisoning Mirror. These two trap cards are a good match-up against light and dark monsters that activate on the field and graveyard.
- SHADOW-IMPRISONING MIRROR EFFECT:
Negate all DARK monster effects activated on the field or in the Graveyard.
- LIGHT-IMPRISONING MIRROR EFFECT:
Negate all LIGHT monster effects activated on the field or in the Graveyard.
Now what if my opponent doesn't run a meta deck with light or dark monsters? You would need cards in your side deck that would be able to get around certain cards. Then again you wouldn't know what deck you'll be siding against until game one of the match is over. I like to run cards in my side deck like Diamond Dire Wolf, Dimensional Fissure, Wiretap, Mystical Space Typhoon, Stygian Dirge, Xyz Encore etc. Basically cards that can counter certain types of decks or the way the deck is played. You can also side cards that take advantage of the way your opponent's deck is played.
If the play-style of your opponent's deck is to activate Spell/Traps then naturally you would want to side cards like MST, Dark Bribe, Wiretap or Ghostrick Alucard etc.
If your opponent special summons often, side cards like Maxx "C", Black Horn of Heaven etc.
If your opponent runs a deck in which he/she draws outside of the draw phase then side cards like Appropriate etc.
Remember, you would want cards in your side deck that would counter your opponent's deck and not yours. It wouldn't be smart if you sided Dimensional Fissure if you yourself ran a deck like Lightsworn or Sylvan. Use side-decking to your advantage and add it to your arsenal. I used to think side-decks were completely useless until I was taught of it's importance.
I hope this lesson has helped you somehow.
by 
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