Answer:
   
   Normally, they don't cover their heads for the entire service.
   Typically, it is done just from Borechu through Shema, the Amidah, and
   the Chazan's repetition of the Amidah. These are the times at which
   talking is to be minimized. Even answering "amen" depends on where
   you're up to, and what blessing or Kaddish one is answering. Covering
   your head is a straightforward way to minimize distraction.
   
   There is a second reason. The talmudic discussion of covering one's
   head when praying is a little vague. Some take it to mean that this is
   in /addition/ to the yarmulka. So, for many this is another reason to
   cover one's head during the most critical parts of prayer.