In what week in pregnancy do they start checking your cervix at doctors appointments for dilation?

Im 35 weeks pregnant with my first baby, my doctor said that once you turn 35 weeks i will have to go my doctor visits every week instead of every 2 weeks up unitl i have my baby. I have my appointment today, so does this mean she will want to check my cervix? is this normal proceedure? Im just curious as i get a bit embaressed if ive to take my undewear off in front of my doctor.