There is really no more reason to check it yourself than there is to let anyone else check it. You learn NOTHING from cervical checks prior to labor. Being dialated now doesn't mean labor is imminent (especially true for multiparas)--had a cousin who walked around over a
month 4cm dialated & was finally induced for no other reason than that she was dialated.

Not being dialated likewise does not mean you're a ways off from labor. I truly do not know why cervical checks are routine, though I'm starting to lean more towards asserting dominance over the patient. (There's nothing empowering about being flat on your back with your legs spread!) Allowing them can also, frankly, be dangerous--more than a few women have had their membranes stripped without their knowledge or consent, a practice that is tantamount to assault in the UK.
There are some circumstances where cervical checks can be useful--if preterm labor is suspected, for instance. I won't even deny their possible use during labor, though many a woman has labored just fine without them.
The theory is that the more dialated you are prior to labor, the faster said labor will go. Might be true, might not. Personally, I'd want a detailed explanation from anyone who wanted to put their hand up inside of me.
If you want to check it yourself, there's a good thread about it here:
http://www.mothering.com/discussions...d.php?t=358850
The theory is that your cervix starts out feeling like the end of your nose, and as it ripens (softens), it begins to feel more like pursed lips. Some women have described checking their own cervix as empowering, but checking oneself for prelabor dialation still makes no sense to me.