The only way to know for sure is to hire an energy specialist or auditor to measure the air tightness of your home using special equipment (e.g. a blower door).
On your own, you can perform some simple checks such as looking for drafty areas, light shining through cracks, and attic spaces with dirty insulation.
Select the caulk, weatherstripping, or sealant products suited for the temperature, surface material or type, and the location. Read the label directions for application information. Clean surfaces before caulking and weatherstripping.
Rope caulk, backer rod, or other materals should be used before caulking any cracks or gaps larger than 1/4-inch.
ENERGY STAR® has a good resource for do-it-yourself sealing projects. See the ENERGY STAR web site .