The best way to gauge humidity is by observing your animals. If they're shedding in one piece, chances are your relative humidity is good. If not, it should probably be looked at.
In terms of an actual gauge, I use a Hygroset II: http://www.hygroset.com/products_detail.asp?ID=577. I have this unit on the wall in my snake room, not in my individual enclosures. I have a humidifier that raises the relative humidity of the entire room to a minimum level I have set on my hygrometer (an older Herpstat one).
Edit: The Herpstat 4 can do up to 4 things at once - either be 4 thermostats or 4 hygrometers or any combination of these (3 thermostats, 1 hygrometer).