I like having a foretrex on my wrist to see what my speed is, but if I feel the boat is sluggish then the speed usually matches. I can usually judge by feel if I am "in the groove" or not. The fun of trying to see just how fast you were going is undeniable... but that is just for screwing around. I find it helpful to judge some shifts I suppose if you keep an eye on your heading.

As far as VMG and whatnot... I think the only thing that will reliably tell you whether you are truly pointing as well as you can is if there is another person close to you trying to do the same thing. Helps too if they are an expert.
but... then again... boat set up and weight can certainly alter your pointing ability.