I hardly ever check.
In fact, I'll sometimes leave a thorn in place deliberately, cutting off any attached twig, on the grounds that it may plug the hole it's made well enough to get home with only a couple of pumping sessions (which take about a minute; a fair bit quicker than a roadside tube change). If the first pump doesn't last at least 15 minutes, I'll change tubes at the 2nd stop.
Some time late February/early March, I picked up a thorn, but didn't notice until I found that my rear tyre needed pumping every 2 days or so. After 3 or 4 weeks, I inspected the tyre from the outside fairly closely, but didn't find anything, so I just carried on pumping before most rides until it came to time to swap the winter tyres for summer tyres, at which point the thorn revealed itself from the inside. I still couldn't see it on the ouside of the tyre, even knowing where it was.