Personally, I don't use them despite keeping my jugs under my tank.
Reasons:
1) I use a pretty thin walled tubing, so capillary action is minimized to the point I can uncork both jugs, go and refill them and I get no water siphoning out. This may well be a result of using a good diffuser at the output end of my tubing combined w/ having a small loop of it going 5" above the waterline and my habit of doing my CO2 when I'm in the middle of a PWC.
2) CO2 is a fairly corrosive gas. Cheap plastic check valves won't stand up to it indefinitely, so if you do use a checkvalve, use a brass one.
3) Aquarium water getting into your yeast brine really won't hurt anything. You're going to have a much larger headache if your yeast brine gets into your tank, which a check valve will not prevent (unless it's installed backwards which means it won't let CO2 into the tank either).