It is indeed critical and all new houses in Sweden are tested for leaks under pressure. Those that leak sufficiently little get to call themselves Passivhus and you have some taxation benefits.
A handful of US states have also made blower door testing mandatory in new homes, but we still have a long way to go. A few states don't even have state-wide building codes, much less efficiency requirements.
I've had this done before, very, very informative. Those machines are like $3K to buy, you can hire someone to come out and do it, but this seems like a perfect DIY project.
An other very informative thing to get done is thermal imaging of the walls (from inside and outside both). Very good at uncovering damp spots and water infiltration too.