Buy a microscope at Toys are Us, scrape some oil from your face, put it on a slide and if you have them, you can see them at 400x-1200x magnification. You need to know what you are looking for, so find some pictures of them online before you go hunting.
Another test:
Put a dab of Cold cream on your chin or cheek, rub it in and leave it overnight. If you get a bunch of white heads, it's because the Cold Cream is suffocating mites and they are dying. Same goes for zz cream, which is a sulphur based product.