Skip the period, but are you pregnant?

I've been taking birth control normally and have been considering skipping the last week (period week) in the pack to skip my period or switching to a pill that gives me it less often. My doctor said ether is fine, but then without a period I feel that I might get anxiety about not having that reassurance I'm not pregnant. How can you tell if you don't have a period, or do those of you who do this take a pregnancy test every month? Is that more convenient and cheaper than dealing with tampons and the annoying symptoms of a period?