Masutatsu Oyama (the founder of Kyukushin full-contact Karate and enemy of bulls everywhere) said later in his life that he regrets doing all that damage to his hands to "toughen them up". Granted, there is a bit of toughening that needs to be done, but it is mostly to increase the bone density of your hand, rather than the skin itself. This isn't something you'll achieve by hitting a bag.
You'll want to bandage your wrists to protect from sprains if you hit the bag off-center, and wear light gloves that protect your skin from friction-burns. The bag is there to get you used to the feeling of hitting an actual human opponent (and also cardio).
If you want to strengthen your wrists, the best thing to do is to squeeze a tennis ball or wave a heavy sword/cricket bat/frying pan around.
If you want to toughen your skin, find a pile of concrete rubble and just dig through it. You don't have to scratch yourself. It's just the idea of working with dry, rough, solid objects that triggers your body's natural ability to protect itself.
To increase bone density, you need to take lots of calcium (either by drinking milk or taking supplements), as well as expose the relevant bones and joints to high impact exercises. Note: High-impact does not mean you need to pick a fight with a stone wall. For reference, road-running is considered high-impact exercise for the ankles and knees.