Directly at the edge itself, and also at the bevel faces. Looking at the edge in the edge-on view, with the strong work light already mentioned and a good loupe such as the one I recommend, the Belomo 10x Triplet, you will see tiny points of reflection where there is a chip or divot or unimproved part on the apex. The edge, ideally, is not even visible. Looking at the bevel, you look for where the bevel is making contact all the way out to the apex, and where it is not. Where the bevel is a single continuous surface, and where it is broken into two strips that are a slight angle to each other and therefore reflect the light separately from one another. Either case, edge sparklies or incomplete bevel facet, call for more work on the bevel setter.
There are several pics on this page that might help to illustrate what I am talking about, and a couple that also show a very obvious burr. The incomplete bevel pics tell you that the bevel is not set, and it is pointless to jump up to a finer grit.
Setting the Bevel with the Hybrid Burr Method
A LOT of honers do not deliberately raise a burr. It can be done. Using the burr is perhaps a little easier to understand, though. And yes, it should only ever be done once, unless you severely damage the edge, maybe by banging it against the sink or faucet. Simple refresh of the edge after normal use and wear only requires a visit to your finishing stone or film. Your razor, but if you go back further in the progression you are honing away steel that does not have to be honed away. Similarly, if you set your bevel correctly and later you decide to return to the bevel setter, you are wasting steel. It's your steel to waste as you see fit, but it is unnecessary. Your new razor should last a couple hundred years. Maybe 30 years of hard use. Why burn it up in half that time? Leave some steel there for your grandkids to play with.With one specific honing style under your belt, trying another way is pretty easy. I have had guys learn my way, and get bored with it, because they thrive on challenge, so they jump into Jnats, Coticules, slates, Arkies, whatever. Just go at it with your credit card at the high ready, will still frustrate, but not as much as it would otherwise, after first mastering ONE style of honing.