If you are between the wall and the enemy, stay away from the walls - the closer you are to a wall, the more likely bullet ricochets, explosions, and shrapnel will hit you.
On the other hand, if the wall is between you and the enemy, hugging the wall gives you protection.
If you want to play with that mechanic, I think it'd need to be explained clearly, and also need to be visually noticeable (visible bullet trails and "Wall ricochet!" floating text when a ricochet hits you), especially with the explosions - if a rocket hits someone, it might spread out somewhat in the open space around him, but if it hits a wall, the explosion would not only be channeled along the wall, but shrapnel (especially wall-debris) and the heat/force would bounce back from the wall outward.
(Note: the above is me speculating - I have no knowledge of the actual physics in explosions)
I'd do it in a generic way that makes playing with explosions (from grenades and mines and etc...) in enclosed areas (like inside buildings or courtyards) an enjoyable almost bomberman-like experience. I haven't seen that done in a turn-based tactic game before. And I'd make shrapnel and ricochets be a big deal as well.