It's a good idea to check your credit report at least once a year. Not only does this help you stay aware of your credit standing, it also helps you detect identity theft.
You might have heard that your credit score is hurt whenever an inquiry is placed on your credit report - that is, when someone checks your credit. The good news is, that doesn't include you. When you check your credit report, it's called a soft inquiry. Your inquiry doesn't get added to your credit report and it doesn't hurt your credit score.
To find out which types of inquiries hurt your credit see Credit Inquiries and Your Credit Score.
Good to know about the credit inquiry we generate for ourselves not hurting us.