If your file is keyed and you want to check that the key exists, you can use SETLL to check the existance of a record. USe the Equal indicator to see whether a record exists with your key. It’s also possible to use embedded SQL for this, but that’s probably overkill.
It depends on your definition of “check”. Check for existence will be as Martin says, though it does require a key value. In that sense, the check is for whether or not a particular key value exists in the index. The existence of the key directly implies the existence of a record.
But if “check” means to check the content of a record, then you must actually read the record. READ and CHAIN are the two main record input operations (in RPG; with variations such as READE and READP).