Just wondering how I could check if I have correctly set a SPF record for a domain name? Is there any tool to check this please?

Thanks.

Yes there is, http://www.mxtoolbox.com/spf.aspx ;)

Second one -- http://www.microsoft.com/mscorp/safety/content/technologies/senderid/wizard/

the another tool you can find here,
http://www.seoconsultants.com/tools/spf/