How often do you check for an exception in a C++ new instruction?

I just started reading Effective C++ today and got to the point where the author talks about the operator new.

The book explains very well how you can catch (with various degrees of elegance) the std::bad_alloc exception that the operator new can raise if you run out of memory.

My question is: How often do you check for the case when there isn't enough memory to instantiate a object, if at all? and why? Is it worth the hassle?