Yes it's a good idea to check your frame regularly, especially if it's alloy and if it's getting on a bit.
I bought a 2007 frame which I rode for two years before I discovered a crack in the welds of the head tube. At first I thought it was nothing more than elaborate scratch in the paintwork, until it started to get larger and larger.
After reading some horror stories about alloy frames failing spectacularly without warning, I kept a very close eye on the next frame I bought - a 2005 model.
Sure enough, after only three months, it started to develop a crack around (and across) the BB weld, which got alarmingly bigger as the days went on.
I've been scared off alloy now (at least 2nd hand) and replaced it with a brand new steel frame.