to Soundcheck or not to Soundcheck?

To be honest, the Soundcheck is a bit of a con - only for the ipod. Sound Check for iTunes is great, as it does what it says. I think it only implements the sound check IF you burn from iTunes. If you use Toast, I believe it reverts back to the original levels.

I would advocate something based on ReplayGain as opposed to SoundCheck. If you have MP3s, the easiest route to take would be to use MacMP3Gain.

Everything I play in iTunes on my Mac is in MP3 format, and I make my MP3s using foobar2000 as a front end for LAME and also to apply album gain modifications on all the MP3s before sending them on to the Mac. I leave SoundCheck and all the other playback effects/enhancers turned off in iTunes. I really like the results.

if i ever make a cd from those files will the same soun levels be implemented on the resulting cd?

This is supposed to work, but in following posts on this subject through many, many iTunes updates, it seems there are always reports from users that SoundCheck simply doesn't work when applied to burned CDs (enabled in iTunes > Preferences > Burning). I can't give you a sure answer on whether or not it will work for you or anyone else as I don't use SoundCheck, but I'd pay close attention to the results if you decide to use it.