When in doubt, have it inspected, in most cases annually. It is good and proper to be asking the question "does it need cleaning" because the people who have chimney fires probably don't ask that question very often. If you aren't sure, get it inspected.
The best chimney locations are always in the center of the house, so that the flue is full of warm air. Frequently builders put them in chases on the outside of the house. One way I have found to make this not so bad is to insulate the exterior of the chase and not the wall toward the house. This way the chase stays relatively warm and you don't get as much of a cold slug of air plunging down when you open your damper. If the exterior walls of the chase are insulated then it is best to not insulate the main house ext. wall. If the exterior of the chase isn't insulated then you might want to do some insulating. I just use unfaced fiberglass batts and make sure that they keep the proper distance away from any flues and that they are secured from falling over with wire keepers, normally used for under joist bays.