I have built 3 AR-15s. One had a complete upper, which I took apart later and changed the front sight / gas block and handguard to free-float the barrel. The other 2 I built from parts I ordered or found locally.
No problems at all with headspacing. From what I've read, even if you have problems, there isn't much you can do to fix it other than use a different bolt which is assuming that's the part that's the issue.
I stay away from the "$49 BCG Super Discount" ads. I buy from retailers and manufacturers who check each part for quality control. MILSPEC is the key.
Having said that, it's like a safety inspection for the car. You might pass every time you inspect a relatively new car, but one day you fail from a broken wiper or worn tires you failed to notice. Having the gauges and periodically checking will potentially catch a problem before a part fails.
Brownell's sells a Go/No-Go pair of gauges for $65 for 5.56 NATO. They also sell Match-quality gauges (though most are out of stock) from Forster: Go / No-Go / Field. Each run about $30 and are recommended especially for building a match-quality rifle.
If your barrel is marked .223, use those gauges. If marked 5.56, use those.
The real problem comes when you randomly get a barrel and extension that's maybe at the maximum threshold limit for tolerance, and the bolt is at the minimum threshold. I've seen this referred to as "tolerance stacking," where the combination of variances, still within spec but in opposite directions, makes the difference between the parts being "close enough" and causing problems.