I am the first to admit that I don't always do a separate tension swatch. But I always always always always check my tension before I go far with a project. Always.
Socks? They're a tension swatch right there. Once I've got a couple of inches, it's a simple job to measure. If you're way off, it's not heartbreaking to rip it out.
Baby's clothes? Again, small enough that if you're off, you can start again without having wasted much time.
The trick is to measure at the first opportunity -- once you've got a couple of inches in length -- and don't be afraid to start again if you need to. And check it again, as you work. A particularly exciting episode of Buffy can cause your tension to change.
For the aforementioned Rogue, I swatched 6 times before I ultimately started into the project. 6. That's 6 swatches. I first bought some charcoal grey tweedy wool, and discovered upon swatching that I didn't like how it felt. That was two swatches.
I then bought some really great green Galway wool. Galway doesn't work to the tension they claim on the ball band. It claims to be an aran. It lies. It's a worsted, no matter how many times you change needles and block and steam it.
And then the project sat for a year until I heard that Mission Falls is closing. I'd used their 1824 Wool before, for a gansey, and loved it. I went with my gut, went back to Mission Falls, and back to black. I swatched twice for that, to get the right needle size.
And it was worth it. No question. She's coming out perfectly.