Actually you can go online to the Social Security Admin site and get a report. When last I tried it I found it a bit more complicated than necessary.

Yes, you should check every three years -- both for innocent errors -- transposed numbers as well as fraud -- social security numbers are used in immigration fraud as well. I have had to help retirees whose accounts were messed up -- ususally due to a transposed number and it is a nightmare!! Much easier to get it fixed right away while you still have your tax filings, W2, etc. (And you don't get any payment while it is being sorted out either!)

BTW it is also fun to see what you have made every year since you started working -- well for those of us who have been around a while anyway!