The most accurate way to measure your "percent body fat" is with underwater weighing. This method requires you to get into a tank of water, exhale all your air so you sink to the bottom, and be weighed. When done properly, your lung capacity should also be measured, since it is part of the formula used to determine fat percent. This test, not easily found or administered properly, is best performed at a university or hospital. It can cost $30 to $40.
The use of calipers is a very common, but inaccurate, method. Perform the test three or four times in a row. If the numbers are very similar, chances are you're getting an accurate account of body fat. However, if the numbers are quite different, there's no accuracy. In many clubs there is no charge or a minimal one, but you get what you pay for. Also, this method does not account for fat that's deeper in the body.
Another test uses electrical impedance to measure total body fat. There are many factors which may make this test much less accurate. Newer electrical devices promise more accuracy in the future. The cost may be $20 to $60.
Any test performed must be done at least a second time to determine if your program is working properly. Certainly after a month or two, if you're on the right program, there should be a loss of fat. But by then, people will start asking if you're loosing weight (they'll see it in your face) and your clothes will be fitting more loose.