I just placed and order with newegg about two weeks ago and used the check/money order option. I normally use a checking card, but this was for a plasma TV (over the daily limit on the card). Anyway, the TV is on it's way via AIT, so I don't have any complaints.
It's not mentioned in their faq, but they send you a confirmation e-mail when they recieve the check. Another thing of note is, when their checks department gets your check, they take over the transaction and issue you a new sales order number when the check clears, while the original number that was generated by the site gets voided. Sometimes this voiding occurs before they e-mail you the new number. So if it happens, don't freak out when you notice the money gone from your checking account and the order disappear from your account at newegg.