Considerations, Before you begin looking:

Lighting:

The usefulness of good light can not be under stated. You may miss the only conclusive sign just because you did not have a good enough lighting to notice it.

Turn on the lights, move the curtains and bring in extra light sources, preferably without the tripping hazard of wires.

You may be trying to find a needle in a haystack or an obvious infestation.

Storage Container:

You will find things that may look like an insect or an actual Bed Bug. You will need to store them for detailed observations, later. Use any transparent storage device:
Plastic bag,  Clear Bottle or Glass Container with lid

Have some garbage bags handy in case you need to temporarily store away some articles or simply for disposal.

Helping Hand:

Support of a Second Person is Invaluable:

To hold the Light and be Extra Set of Eyes to locate Bed Bugs.
To Capture a Possible Bug and Store it.
Hold Elements of a Bed Frame for Dismantling and Inspection.

Making Space:

You need to look closely and patiently under and around all components of your bed and night tables.
Make space around the bed arrangements and sofas.
Move away items stored under or near them.
Unplug devices from wall outlets to avoid tripping hazard.
Move night tables and other articles at a distance from bed setup.

Box spring and bed frame need to be moved off and closely inspected.

Looking closely – Baby Bed Bug almost disappear as a dot of nothingness

And Discovery Begins!

Among the common items you will find are human skin debris, hair, coins, food debris, tissues, pet toys, etc and etc.

Anything that looks like an insect or is indeed an insect would require a closer inspection.

Among the first tell tale signs of Bed Bug presence are their excrements or feces. These are produced as black liquid that in time dries up. On a non absorbing surface such as finished wood, it would dry up as an extruding black dot. In an absorbing material it may burst into the fibres of the material as ink does on fabrics.

Next you may see Bed Bug skin sheds. These can be mistaken against the Carpet Beetle Larvae skin shed. So keep the specimen for a second opinion.

Depressions at the corners of Box Springs particularly on the underside are the most common nesting spot for Bed Bugs. Next, along the mattress tufts and piping is where Bed Bugs feel comfortable to nest.

Adult and a Baby Bed Bug in the depression near Mattress Piping

An adult Bed Bug in the depression near Mattress Piping

Factory Drilled Holes

Factory drilled holes in our bed frames is a common nesting spot for Bed Bugs. These holes are spacious enough to hold several adult Bed Bugs and dozens of Eggs. These holes could be in the sides, backs or the under side of wooden elements of our bed frames. A bed may need to be dismantled to be able to moved in such a way so that we can look directly into these holes.

Videos:

What do 2 factory produced holes hide in an Ikea bunk bed frame?

Small Drilled Hole Holds Several Bed Bugs of Varying Sizes, White Eggs and Excrements