I just replaced one last night. I'm done messing around with intermittent leaks. Keep a supply of keg parts around and when you find a leak, swap the part. If you have a lot of kegs and don't get to all of them frequently, there's nothing worse than finding a great beer oxidized because the keg didn't hold pressure.
Yes, do a cursory quick check to see if it's something obvious (like it not being screwed in sufficiently, or it being clogged by a visible particle of something). More often than not, you won't see anything like that.
I think it's good practice to clean then store your kegs under pressure. When you need to fill one, check to see if it still held pressure. If not, move it from the 'ready to use' pile into the 'needs fixed' pile.