There are several situations where you don't want to take Wraiths:
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The jungler is taking them, or is otherwise close to them and will likely take them soon. Your jungler will likely get really mad at you, and you are hurting his jungle farm.
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There are minions at your turret or in the center of the lane. Always prioritize minions over wraiths, as minions are worth more gold, are much more plentiful than wraiths, and keep you from taking as much damage.
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Look to roam and help your team pick up kills before going to wraiths. Kills are always going to be worth more than wraiths, and if you see a chance to roam and help your team pick up kills, then you definitely should go for that chance. However, some champs don't really want to roam like Karthus, and really should just stay in lane and farm, including wraiths if they are up.
Some of the better champs at taking wraiths usually have a strong form of sustained AoE damage, like Karthus, Mordekaiser, and Swain (post-6). However, the only way you are going to get away with not using any mana on the wraiths is if the champ you are playing is manaless, but keep in mind that the big wraith does in fact refund some mana and health.