‘Blinkies’ is the extremely professional, technical term I like to use for the highlight warning on digital cameras. I usually leave mine turned on because they’re a fast, effective way to gauge whether I’ve exposed an image correctly. I do also use a histogram, but I find the flashing effect of blinkies a much more effective alarm that I’ve overexposed. No matter how much you trust your camera’s ability to auto-expose, there are going to be situations when it fails you, usually when there’s a lot of contrast between light and dark areas in an image.
Now, there is some debate on the matter, but most professional digital photographers I’ve spoken to agree that it’s safer to slightly underexpose a digital image, as opposed to overexposing. Noise aside, you can still at least get information out of your shadows when you process the image. But clip your highlights (that’s photographer-speak for ‘set the blinkies off’) and there’s not much you’re going to be able to do about it later.
Obviously, there are situations where blinkies are going to be unavoidable – shooting indoors when there’s a window in the shot, for example. You just have to judge what’s acceptable in the image you’re trying to achieve. As long as your main subject is correctly exposed, it’s probably okay.
So, to sum up: turn your blinkies on (play with your camera’s menu to find out how), check they’re not flashing after each shot, and if they are, dial your exposure compensation down until they stop. Ta-dah!