Why do we need the Church’s rules when our conscience tells us what is right and wrong?

Not exactly. Conscience is the faculty that warns you you’re doing something wrong or neglecting to do something you should be doing. But it doesn’t work in a vacuum. Your conscience first must be told what’s right and wrong—it starts out as an empty slate—and that’s a job for your intellect. If you learn that stealing is no sin, and if you really believe it, your conscience won’t bother you when you rob a bank. If you learn that fornication is not sinful, no warning bells will go off when you engage in it. In either case your conscience will have been formed improperly.

Although you have a duty to follow your conscience, you have a prior duty to form your conscience well. You do this through following the moral teaching of the Church, through prayer, and through close attention to Scripture. Neglect those, and you will end up with either an empty conscience, which won’t be able to guide you at all, or with a cramped conscience, which will see sin where there is no sin.

The former condition is called licentiousness, the latter scrupulosity. Those who suffer from licentiousness never seem to see any sin but the grossest (which only other people commit, of course). Those who suffer from scrupulosity see sin even in innocent things. Someone who is burdened by no guilt at all (I have met some people like that) or by much guilt (I have met that sort too) should see a good priest-confessor. These conditions are signs of spiritual malformation, and they can be corrected.