Consumer Reports says a good tire gauge can help. Consumer Reports tested 14 gauges costing between $4 and $56. Digital gauges are the easiest to read. A good choice is the Accutire MS-4021B gauge for about $10.
You should also make sure that you know the correct recommended tire pressure. A common mistake is going by the tire pressure listed on the tire. That's actually the pressure for the car's maximum carrying load. Instead look for a sticker on the driver's-side door or check your owner's manual.
To get an accurate tire pressure reading, check tires when they're cold. Having a tire gauge on hand makes that a lot easier. If you've driven your car, it takes about three hours for the tires to cool.