When updates are available they will be pushed to your phone automatically, and you will receive a notification in the tray to update. (or a quick launch box will pop up asking "ok")
In the past, I have woken up to a tasty donut update, and thats what I expect for froyo. So just wait patiently.
The old OS had an option under settings>about phone>check for updates. But you will always get the push first, it is as instant as email. I guess its fun to check every day and verify no update is available, but its not necessary. (I used to do it on my Nexus One constantly)