For details on how to properly set your tire pressure, read "Air Pressure: When and How to Set."
I just picked up a new Intercomp 2.5" Deluxe Air Pressure Gauge (pictured at left) to help me keep track of my tire pressure. It is easy to use, solidly constructed and made in the USA. The handy bleed valve lets me simplify filling my tires. I put in a little more air pressure than I need, then bleed it down to the exact pressure that I want. No trial and error of adding and letting out air and checking multiple times, just fill, check, bleed and be done.