I've had a faulty valve on my bike once. I only noticed what it was after all the new tubes didn't have any holes. To check, I turned the wheel so the valve wouldn't be on the bottom or the top but somewhere sideways. Hold a hair or two in front of the valve and if it moves, air is coming out. Don't do it outside though or anywhere you'd expect a draft.
The guy in the bike shop did the same thing to check, only he used his lighter and checked if the flame would move away from the valve.