I am wondering how to check my pilot light on my heating unit..

What do you mean? Is it a standing pilot? Is there a small flame in your furnace all the time?

First you have to determine if your furnace is the kind that has a pilot light, if it is then you need to look into the inside of the furnace, the part where the gas line goes into. You will find the gas valve, and from this gas valve you will see some wires coming off it, also you will see a small 1/4 inch aluminum tube coming off it and going into the heating area, Just follow that tube as far as it goes and at the end you should see the pilot, if it is not burning you should follow the instructions on how to light it.