If I'm concerned about sheidim hanging out in my bedroom is there a procedure for checking to see if there are actually sheidim my vicinity or if it's just my imagination?
Gemara Brachos 6a
"...If a person wants to know if they (demons/mazikin/sheydim) are there, he should take finely sifted ashes and spread them around his bed (before going to sleep at night). In the morning he will see (in the ashes) something like the footprints of a rooster."
"If he actually wishes to see them, he should take the birthsack which emerges from a black cat the daughter of a black cat, a firstborn daughter of a firstborn, and burn it in fire and grind it up. He should put the powder in an iron tube sealed with an iron seal. He then closes his mouth tightly and puts a bit of powder in his eyes. He will see them."
"Rav Bibi bar Abaye did this, saw the demons, and was harmed. The Rabbis prayed for him and he recovered."
In general, the Gemara in Pesachim (last perek) has a long section dealing with demons and black magic. Two ideas emerge from the discussion that helps put us at ease regarding such things.
1) It is by invitation. If you are not strict about worrying over the supernatural, they will not be strict to notice you.
2) As the generations of sages decreased in spiritual level, the power of demons decreased proportionally as well.
Some say today, that the Baal Shem Tov declared, that demons have been banished to the wilder areas of the world where people do not live. This is because the spiritual has further decreased in power so the evil forces have decreased as well.
Finally, based on Devarim Rabbah 4:4 (that every bit of air is filled with mazikin/demons) and other descriptions of sheydim causing sickness, barrels of wine to explode under pressure, etc. It seems that the Gemara may be describing in spiritual terms, a phenomena that we now physically understand: germs and bacteria?
However, if you still feel you need protection to ease your mind, and think Chazal are also teaching about spiritual negative creatures, you may wish to recite Tehillim 91 (see Gemara Shavuos 15b) for protection.