The plastic bag thing

Coming from wasteful UK and Australia, I'm trying to get the planning of the plastic bag thing right.
Is there some sort of policy for when I should expect a free bag and when to pay?

For example, at H&M, I get a free bag, I figure because it's impractical to walk around with clothes tucked under my arm.

In bookshops I go to, I pay for a bag, arguably books being easier to transport sans bag. But then I get free bags when I buy CD's, which I thought would be in the same category as books.

And then groceries, which you really need a bag for, you pay for. Alcohol, which you only need a small brown paper bag (and a park bench) is again a pay bag.

Now I have taken to keeping a plastic bag neatly folded in my hand bag but this makes me feel like a bag lady (especially with my new habit of talking to myself).

I could of course pay 10 - 13 c for a new bag, but I kind of resent this. Should I be taking my bottles back to the shop to recoup my bag expenditure? However, carrying bottles in my handbag also makes me feel a little like a bag lady.

Finally, is there any etiquette on bringing the bag of a competitor to carry your groceries home rather than buy a bag of that store?

Or should I just get a life?! Oh hang on, this is my life now...