Perhaps the best way to think of it is that ‘must’ is stronger than ‘need’.
‘I need to practise my Welsh’ implies that if you want to improve your Welsh then it’s important that you practise it - but if you’re not that committed, well you might not get round to doing it.
‘I must practise my Welsh’ because there’s an exam coming up in a couple of days’ time, so if I don’t practise then I’m likely to fail.
Sometimes the choice is clear; other times it may be a case of how much emphasis you wish to put on it as to which of the two to choose.