Well almost all the folks who have tested use a multimeter to check. The benchmark is the datasheet which would show a typical draw of 40uA. Anything over that indicates something is drawing power and you need to check on it. I've listed some of the tricks that I used.

This is the code I use that puts the PIC into low power sleep
Code:
StopNow:
        
        PORTB = $f8         ' turn all rows low for interrupt to occur
        INTCON = $8         '  RBIE = 1 to wakeup from sleep, not necessary to have GIE enabled for this
asm
        sleep
        nop                      ' the 2 nops are a workaround for some pics 
                                   ' that slip on the  sleep
        nop
endasm

        PORTB = $ff         ' turn off all rows
        INTCON = 0         ' turn off the interrupts as I don't need them now
        goto  loopstart     'start right at the front
Besides this, things like BOR, Watchdog all consume power. You should consider if your application needs these features more than the minimized power drain.

Check each pin of the PIC to see that it is turned to a state which does not cause power drain due to itself or connected circuitry. For example, if you have the PORTB pullups turned on, putting a PORTB pin to 0 will cause a current drain there. Turning the port to all inputs may not be the best solution always.